Affine model of inflation-indexed derivatives and inflation risk premium (Q2256214): Difference between revisions

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+https://doi.org/10.1016/j.ejor.2013.12.010
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+W3122482397
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@@ Property / cites work @@
+Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options
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+A comparative evaluation of alternative models of the term structure of interest rates
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+Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Affine General Equilibrium Models
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+Modeling the Dynamics of Credit Spreads with Stochastic Volatility
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+Pricing inflation-indexed derivatives
@@ Property / cites work: Pricing inflation-indexed derivatives / rank @@
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@@ Property / cites work @@
+Interest rate term structure modelling
@@ Property / cites work: Interest rate term structure modelling / rank @@
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