Using market prices of inflation-linked bonds and nominal bonds issued by the French Treasury, both the real and nominal zero coupon curves are estimated from January 1, 2013 to December 31, 2015. Several methods are applied to extract zero coupon bond prices: bootstrapping, a piecewise constant...

A new approach to the conditions that a duration measure must satisfy to represent the interest rate risk adequately is proposed in this paper. These conditions are derived from an intertemporal model of utility maximization. In addition, this approach is used to provide a new perspective on the...