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Affine model of inflation-indexed derivatives and inflation risk premium

Ho, Hsiao-wei; Huang, Henry H.; Yildirim, Yildiray - In: European journal of operational research : EJOR 235 (2014) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10010361364

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

The impact of liquidity on inflation-linked bonds : a hypothetical indexed bonds approach

Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - In: The North American journal of economics and finance : a … 32 (2015), pp. 139-154

Persistent link: https://www.econbiz.de/10011514457

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

Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach

Chen, Shi; Härdle, Wolfgang; Wang, Weining - 2015

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 …

Persistent link: https://www.econbiz.de/10011389060

Do inflation-linked bonds contain information about future inflation?

Vicente, José Valentim Machado; Guillén, Osmani … - In: Revista brasileira de economia : RBE ; revista da … 67 (2013) 2, pp. 251-260

Persistent link: https://www.econbiz.de/10011443921

The role of inflation-linked debt in US government finances

Rauh, Joshua - 2023

Persistent link: https://www.econbiz.de/10014476587

Pricing inflation-indexed derivatives with default risk

Chen, Son-nan; Hsu, Pao-Peng - In: The European journal of finance 24 (2018) 15, pp. 1272-1287

Persistent link: https://www.econbiz.de/10012258889

Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing

Giuricich, Mario - 2017

We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using weak convergence of compound renewal processes to Lévy...

Persistent link: https://www.econbiz.de/10012955395

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