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CUTTING EDGE - Brief communication - Valuing Inflation futures contracts - In recent years, futures contracts written on inflation (specifically, on the ratio of the consumer price index (CPI) level at two different times) have been introduced. Working within the Jarrow & Yildirim (2003) model, the author-derives formulas for the theoretical values of these futures contracts in terms of the ...

Crosby, John - In: Risk : managing risk in the world's financial markets 20 (2007) 3, pp. 88-91

Persistent link: https://www.econbiz.de/10007770947

CUTTING EDGE - Inflation - Convexity adjustments in inflation-linked derivatives - The authors value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed payment and period-on-period inflation swaps with delayed payments are obtained in closed form ...

Brody, Dorje; Crosby, John; Li, Hongyun - In: Risk : managing risk in the world's financial markets 21 (2008) 9, pp. 124-129

Persistent link: https://www.econbiz.de/10008107441

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