Inflation Derivatives
Hughston, L P.
1998.
Inflation Derivatives.
Working Paper.
King’s College London, London.
[Report]
A general theory for the pricing and hedging of inflation-linked derivatives is outlined in a complete market setting with no arbitrage. The market consists of nominal discount bonds and real discount bonds, together with the consumer price index, which acts as a kind of exchange rate to determine the nominal payout of a real discount bond at maturity. An analogy with foreign exchange is suggested as a basis for the design of new products.
Item Type | Report (Working Paper) |
---|---|
Departments, Centres and Research Units | Computing |
Date Deposited | 21 Mar 2022 09:45 |
Last Modified | 13 Dec 2022 12:48 |