Pricing inflation-linked bonds

DOI10.1080/14697680802613057zbMATH Open1202.91108OpenAlexW2060861420MaRDI QIDQ3557569FDOQ3557569

Authors: Paolo Falbo, Francesco M. Paris, Cristian Pelizzari 

Publication date: 23 April 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/23318

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zbMATH Keywords

interest ratesinflation ratesinflation-linked bondscontinuous time stochastic modelstreasury inflation protected securities

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• The procyclicality of inflation-linked debt
• Pricing inflation-linked variable annuities under stochastic interest rates
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• The impact of financial risks on financial investment in infrastructure: based on a two-factor stochastic differential equation
• Pricing and hedging GDP-linked bonds in incomplete markets
• Assessing inflation risk in non-life insurance
• Pricing and hedging of inflation-indexed bonds in an affine framework
• Design of green bonds by double-barrier options
• Information, Inflation, and Interest
• Pricing deflation risk with US treasury yields
• The TIPS liquidity premium
• Joint modeling of inflation and real interest rate dynamics with application to equity-linked investment

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