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Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium

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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...

Persistent link: https://www.econbiz.de/10013113849