Inflation-indexed swaps and swaptions

Journal of Banking and Finance

Volumn 32, Issue 11, 2008, Pages 2293-2306

  Hinnerich, Mia ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Analogy; Derivatives; Index linked; Inflation; Swaps; Swaptions

Indexed keywords

EID: 52949099543     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.04.033     Document Type: Article

References (21)

1. Ahn C., and Thompson H. Jump-diffusion processes and the term structure of interest rates. Journal of Finance 43 19 (1988) 155-174
2. Björk T. Arbitrage Theory in Continuous Time. second ed. (2004), Oxford University Press, Oxford
3. Björk T., di Masi G., Kabanov Y., and Runggaldier W. Towards a general theory of bond markets. Finance and Stochastics 1 (1997) 141-174
4. Björk T., Kabanov Y., and Runggaldier W. Bond market structure in the presence of marked point processes. Mathematical Finance 7 2 (1997) 211-223
5. Black W. The pricing of commodity contracts. Journal of Financial Economics 3 (1976) 167-179
6. Brace A., Gatarek D., and Musiela M. The market model of interest rate dynamics. Mathematical Finance 7 (1997) 127-154
7. Chacko G., and Das S. Pricing interest rate derivatives: A general approach. Review of Financial Studies 15 1 (2002) 195-241
8. Cont R., and Tankov P. Financial Modelling with Jump Processes (2004), Chapman & Hall/CRC Press
9. Das S. The surprise element: Jumps in interest rates. Journal of Econometrics 106 (2002) 27-65
10. Duffie D., Pan J., and Singleton K. Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68 6 (2000) 1343-1376
11. Geman H., El Karoui N., and Rochet J. Changes of numeraire, changes of probability. Journal of Applied Probability 32 (1995) 443-458
12. Hughston, L., 1998. Inflation derivatives. Working Paper, Merrill Lynch.
13. Jamshidian F. LIBOR and swap market models and measures. Finance and Stochastics 1 (1997) 293-330
14. Jarrow R., and Yildirim Y. Pricing treasury inflation protected securities and related derivatives using an HJM model. Journal of Financial and Quantitative Analysis 38 (2003) 409-430
15. Johannes M. The statistical and economic role of jumps in continuous-time interest rate models. Journal of Finance 59 1 (2004) 227-260
16. Kazziha, S., 1999. Interest rate models, inflation-based derivatives, trigger notes and cross-currency swaptions. PhD Thesis, Imperial College of Science, Technology and Medicine, London.
17. Mercurio F. Pricing inflation-indexed derivatives. Quantitative Finance 5 3 (2005) 289-302
18. Mercurio F., and Moreni N. Inflation with a smile. Risk March 19 3 (2006) 70-75
19. Miltersen K., Sandmann K., and Sondermann D. Closed form solutions for term structure derivatives with log-normal interest rates. Journal of Finance 52 (1997) 409-430
20. Piazzesi M. Bond yields and the federal reserve. Journal of Political Economy 113 2 (2005) 311-344
21. Slinko, I., 2006. Essays in option pricing and interest rate models. PhD Thesis, Stockholm School of Economics, EFI, The Economic Research Institute, Stockholm.