Inflation-indexed swaps and swaptions
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References listed on IDEAS
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- Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Mar 2018.
- Andrea Macrina & Priyanka A. Parbhoo, 2010. "Security Pricing with Information-Sensitive Discounting," Papers 1001.3570, arXiv.org, revised Jun 2010.
- Andrea Macrina & Priyanka A. Parbhoo, 2010. "Securities Pricing with Information-Sensitive Discounting," KIER Working Papers 695, Kyoto University, Institute of Economic Research.
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- Tiong, Serena, 2013. "Pricing inflation-linked variable annuities under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 77-86.
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- Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
More about this item
KeywordsInflation Index-linked Derivatives Swaps Swaptions Analogy;
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