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General equilibrium pricing of CPI derivatives

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  • Lioui, Abraham
  • Poncet, Patrice

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 29 (2005)
Issue (Month): 5 (May)
Pages: 1265-1294

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Handle: RePEc:eee:jbfina:v:29:y:2005:i:5:p:1265-1294

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References

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  1. John Y. CAMPBELL & Luis VICEIRA, 1998. "Who Should Buy Long-Term Bonds?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp5, International Center for Financial Asset Management and Engineering.
  2. Lioui, Abraham & Poncet, Patrice, 2004. "General equilibrium real and nominal interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(7), pages 1569-1595, July.
  3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
  4. Bakshi, Gurdip S & Chen, Zhiwu, 1996. "Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(1), pages 241-75.
  5. Duffie, Darrell & Stanton, Richard, 1992. "Pricing continuously resettled contingent claims," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 16(3-4), pages 561-573.
  6. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(2), pages 429-490, February.
  7. Jeffrey M. Wrase, 1997. "Inflation-indexed bonds: how do they work?," Business Review, Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Philadelphia, issue Jul, pages 3-16.
  8. Suleyman Basak & Michael Gallmeyer, 1999. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(1), pages 1-30.
  9. Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, American Finance Association, vol. 57(3), pages 1201-1238, 06.
  10. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 363-84, March.
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Cited by:
  1. Câmara, António, 2009. "Two counters of jumps," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(3), pages 456-463, March.
  2. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 28(C), pages 82-99.
  3. Jaime Casassus & Diego Ceballos, 2010. "Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. 373, Instituto de Economia. Pontificia Universidad Católica de Chile..

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