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Including linkers in a sovereign bond portfolio: an HJM approach

In: Portfolio and risk management for central banks and sovereign wealth funds

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  • Ricardo Selves

    (European Commission)

  • Marcin Stamirowski

    (European Commission)

Abstract

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Suggested Citation

  • Ricardo Selves & Marcin Stamirowski, 2011. "Including linkers in a sovereign bond portfolio: an HJM approach," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 111-137 Bank for International Settlements.
  • Handle: RePEc:bis:bisbpc:58-07
    as

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    File URL: http://www.bis.org/publ/bppdf/bispap58f.pdf
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    References listed on IDEAS

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    1. Robert Jarrow & Yildiray Yildirim, 2008. "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 16, pages 349-370 World Scientific Publishing Co. Pte. Ltd..
    2. Jeffrey M. Wrase, 1997. "Inflation-indexed bonds: how do they work?," Business Review, Federal Reserve Bank of Philadelphia, issue Jul, pages 3-16.
    3. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409 World Scientific Publishing Co. Pte. Ltd..
    4. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
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