We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap … rates, which we assume span core inflation. The model provides estimates of market-based expectations for core inflation, as …

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … ffine property, we compute the nominal and inflation-indexed bond prices explicitly. We derive no-arbitrage drift conditions …