Pricing and hedging of inflation-indexed bonds in an affine framework

DOI10.1016/J.CAM.2013.10.023zbMath1314.91210OpenAlexW1981555297MaRDI QIDQ2349617

Zehra Eksi, Damir Filipović

Publication date: 17 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.10.023

zbMATH Keywords

hedgingmarket completenessno-arbitrage pricingaffine Gaussian processesinflation-indexed bonds

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA ⋮ Bond pricing formulas for Markov-modulated affine term structure models

Cites Work

• Martingale methods in financial modelling.
• Term-structure models. A graduate course
• Kalman filter with outliers and missing observations
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing inflation-indexed derivatives
• Unnamed Item

This page was built for publication: Pricing and hedging of inflation-indexed bonds in an affine framework