Ho, Hsiao-Wei; Huang, Henry H.; Yildirim, Yildiray - In: European Journal of Operational Research 235 (2014) 1, pp. 159-169
This paper proposes an affine-based approach which jointly captures the nominal interest rate, the real interest rate, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year-on-year inflation-indexed swaps, inflation-indexed...