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's price bubble. We show that the existence of variance swap market prices implies that there are no swap price bubbles …. Furthermore, we also show that under some mild additional assumptions the discretely sampled variance swap's market price can be …
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The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
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