Inflation Derivatives

Hughston, L P. 1998. Inflation Derivatives. Working Paper. King’s College London, London. [Report]
Copy

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.

Full text not available from this repository.

Atom BibTeX OpenURL ContextObject in Span OpenURL ContextObject Dublin Core Dublin Core MPEG-21 DIDL Data Cite XML EndNote HTML Citation METS MODS RIOXX2 XML Reference Manager Refer ASCII Citation
Export

Downloads