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...

Mispricing between Treasury inflation linked bond and nominal bonds is an issue under attention. This paper examines whether mispricing exists on the French bond market by constructing arbitrage strategies between these two types of assets. We consider self-financing portfolios hedged against...