INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA

DOI10.1142/S0219024921500424zbMath1484.91492arXiv2010.05462OpenAlexW3214963164MaRDI QIDQ5061499

Flavia Antonacci, Marco Papi, Fernanda D'ippoliti, Cristina Costantini

Publication date: 11 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.05462

zbMATH Keywords

inflationinterest ratesinflation-linked derivatives

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Singular risk-neutral valuation equations
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• Affine model of inflation-indexed derivatives and inflation risk premium
• Markov selection for constrained martingale problems
• Pricing and hedging of inflation-indexed bonds in an affine framework
• Pricing inflation products with stochastic volatility and stochastic interest rates
• Viscosity methods giving uniqueness for martingale problems
• Multi-factor financial derivatives on finite domains
• Information, Inflation, and Interest
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The affine inflation market models
• Pricing inflation-indexed derivatives

This page was built for publication: INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA