CUTTING EDGE - Inflation - Convexity adjustments in inflation-linked derivatives - The authors value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed payment and period-on-period inflation swaps with delayed payments are obtained in closed form ...
Year of publication: |
2008
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Authors: | Brody, Dorje ; Crosby, John ; Li, Hongyun |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 9, p. 124-129
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Saved in:
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