Pricing inflation-linked bonds

DOI10.1080/14697680802613057zbMath1202.91108OpenAlexW2060861420MaRDI QIDQ3557569

Paolo Falbo, Cristian Pelizzari, Francesco M. Paris

Publication date: 23 April 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/23318

zbMATH Keywords

interest ratesinflation ratesinflation-linked bondscontinuous time stochastic modelstreasury inflation protected securities

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Design of green bonds by double-barrier options ⋮ Assessing inflation risk in non-life insurance ⋮ The impact of financial risks on financial investment in infrastructure: based on a two-factor stochastic differential equation

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