Inflation derivatives have been widely used by various institutions to transfer or hedge inflation risks. They have experienced substantial growth since early 2000s and a liquid market has been developing in both Europe and U.S. In order to price inflation derivatives, calculate their risks or...

In 2017 the Alternative Reference Rate Committee (ARRC) recommended the Secured Overnight Financing Rate (SOFR) as the replacement for USD LIBOR as the reference rate for use in derivatives and financial contracts. Since then SOFR-linked derivatives started to develop and their liquidities have...