, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year …-on-year inflation-indexed swaps, inflation-indexed swaptions, and inflation-indexed caps and floors. We provide an example and explain … how to use traded zero-coupon inflation-indexed swap rates to estimate inflation risk premiums …

Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …