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Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an affi ne Gaussian process. Using the underlying a ffine property, we compute the nominal and...

Persistent link: https://www.econbiz.de/10010257509

Bond futures, inflation-indexed bonds, and inflation risk premium

Kanas, Angelos - In: Journal of international financial markets, … 28 (2014), pp. 82-99

Persistent link: https://www.econbiz.de/10010411577

Can risk models extract inflation expectations from financial market data? : evidence from the inflation protected securities of six countries

Kita, Arben; Tortorice, Daniel L. - 2018

Persistent link: https://www.econbiz.de/10012063682

Is a pure TIPS strategy truly risk free?

Haensly, Paul J. - In: Review of financial economics : RFE 28 (2016), pp. 1-20

Persistent link: https://www.econbiz.de/10011579659

Treasury bill rates in the 1970's and 1980's

Hendershott, Patric H.; Peek, Joe - 1991 - Rev

Persistent link: https://www.econbiz.de/10000829263

The Treasury under the Tories 1951 - 1964

Brittan, Samuel - 1964

Persistent link: https://www.econbiz.de/10000587322

An empirical analysis of the relationship between UK treasury bills and the term structure of certificates of deposit

Fraser, Patricia - 1993

Persistent link: https://www.econbiz.de/10000143483

Minutes of evidence : Treasury ; Post Office

Great Britain / Committee on the Pay of Postmen - 1964

Persistent link: https://www.econbiz.de/10000330497

The role of the US treasury in stabilizing the economy : 1941 - 1946

Taus, Esther R. - 1981

Persistent link: https://www.econbiz.de/10000121617

Independent Treasury

1841

Persistent link: https://www.econbiz.de/10003158882

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