Pricing inflation-linked bonds

DOI10.1080/14697680802613057MaRDI QIDQ3557569zbMATH OpenOpenAlexFDO

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

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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Cited in

(13)

• The procyclicality of inflation-linked debt
• Pricing inflation-linked variable annuities under stochastic interest rates
• Affine model of inflation-indexed derivatives and inflation risk premium
• Rational models for inflation-linked derivatives
• 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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