Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6897593 | European Journal of Operational Research | 2014 | 11 Pages |
Abstract
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 swaptions, and inflation-indexed caps and floors. We provide an example and explain how to use traded zero-coupon inflation-indexed swap rates to estimate inflation risk premiums.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Hsiao-Wei Ho, Henry H. Huang, Yildiray Yildirim,