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Inflation-adjusted bonds, swaps, and derivatives

Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471

Persistent link: https://www.econbiz.de/10014426345

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an affi ne Gaussian process. Using the underlying a ffine property, we compute the nominal and...

Persistent link: https://www.econbiz.de/10010257509

Bond futures, inflation-indexed bonds, and inflation risk premium

Kanas, Angelos - In: Journal of international financial markets, … 28 (2014), pp. 82-99

Persistent link: https://www.econbiz.de/10010411577

Sovereign debt management and fiscal vulnerabilities

Missale, Alessandro - In: Threat of fiscal dominance? : a BIS/OECD workshop on …, (pp. 157-176). 2012

Persistent link: https://www.econbiz.de/10009553768

On the reliability of Japanese inflation expectations using purchasing power parity

Kamada, Koichiro; Nakajima, Jouchi - In: Economic analysis and policy : EAP ; journal of the … 44 (2014) 3, pp. 259-265

Persistent link: https://www.econbiz.de/10011481971

Residual inflation risk

Illeditsch, Philipp Karl - In: Management science : journal of the Institute for … 64 (2018) 11, pp. 5289-5314

Persistent link: https://www.econbiz.de/10011947163

Is a pure TIPS strategy truly risk free?

Haensly, Paul J. - In: Review of financial economics : RFE 28 (2016), pp. 1-20

Persistent link: https://www.econbiz.de/10011579659

Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds

Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247

Persistent link: https://www.econbiz.de/10011813816

A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates

Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Computational economics 54 (2019) 1, pp. 367-417

Persistent link: https://www.econbiz.de/10012134192

Can risk models extract inflation expectations from financial market data? : evidence from the inflation protected securities of six countries

Kita, Arben; Tortorice, Daniel L. - 2018

Persistent link: https://www.econbiz.de/10012063682