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General equilibrium pricing of CPI derivatives

  • Lioui, Abraham
  • Poncet, Patrice

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4D16VX1-4/2/712372bf1dbf8ebb208dfd89e0a711a6
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Jeffrey M. Wrase, 1997. "Inflation-indexed bonds: how do they work?," Business Review, Federal Reserve Bank of Philadelphia, issue Jul, pages 3-16.
  2. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
  3. Lioui, Abraham & Poncet, Patrice, 2004. "General equilibrium real and nominal interest rates," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1569-1595, July.
  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, vol. 9(1), pages 241-75.
  5. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  6. John Y. Campbell & Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers 1895, Harvard - Institute of Economic Research.
  7. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-84, March.
  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, vol. 9(1), pages 1-30.
  9. Duffie, Darrell & Stanton, Richard, 1992. "Pricing continuously resettled contingent claims," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 561-573.
  10. Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, 06.
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