Rational Models for Inflation-Linked Derivatives
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Publication:5144182
DOI10.1137/18M1235764zbMath1455.91254arXiv1801.08804MaRDI QIDQ5144182
David Skovmand, David Sloth, Henrik T. Dam, Andrea Macrina
Publication date: 15 January 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.08804
calibrationpricing kernelsconvexity adjustmentinflation-linked derivativeslimited price indexrational term structure modelsyear-on-year swap
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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