Pricing inflation-indexed derivatives
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Publication:5711168
DOI10.1080/14697680500148851zbMath1134.91452OpenAlexW2007546203MaRDI QIDQ5711168
Publication date: 9 December 2005
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500148851
Related Items (10)
INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA ⋮ The affine inflation market models ⋮ Rational Models for Inflation-Linked Derivatives ⋮ Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility ⋮ Affine model of inflation-indexed derivatives and inflation risk premium ⋮ Foreign currency bubbles ⋮ A self-tuning model for inflation rate dynamics ⋮ Pricing a class of exotic commodity options in a multi-factor jump-diffusion model ⋮ EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION ⋮ Pricing and hedging of inflation-indexed bonds in an affine framework
Cites Work
- The Pricing of Options and Corporate Liabilities
- Continuous-time term structure models: Forward measure approach
- LIBOR and swap market models and measures
- A multicurrency extension of the lognormal interest rate market models
- The Market Model of Interest Rate Dynamics
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
- A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
- Changes of numéraire, changes of probability measure and option pricing
- Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
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