We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap …

We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap …

no-arbitrage term structure model with stochastic endpoints, separating macroeconomic variables into transitory parts and …