Affine model of inflation-indexed derivatives and inflation risk premium

DOI10.1016/j.ejor.2013.12.010zbMath1305.91230OpenAlexW3122482397MaRDI QIDQ2256214

Hsiao-Wei Ho, Henry H. Huang, Yildiray Yildirim

Publication date: 19 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.12.010

zbMATH Keywords

affine modelsinflation risk premiuminflation-indexed derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA

Cites Work

• A comparative evaluation of alternative models of the term structure of interest rates
• Interest rate term structure modelling
• Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
• Modeling the Dynamics of Credit Spreads with Stochastic Volatility
• Affine General Equilibrium Models
• Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Pricing inflation-indexed derivatives

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