Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas

DOI10.1080/14697688.2010.503711zbMath1280.91166OpenAlexW2139004141MaRDI QIDQ5746756

Paul Canty, Alessandro Cipollini

Publication date: 8 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2010.503711

zbMATH Keywords

calibrationimplied volatilityinflation risk premiuminflation-indexed derivativesJarrow-Yildirim model

Mathematics Subject Classification ID

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

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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