The affine inflation market models

DOI10.1080/1350486X.2017.1378582zbMath1398.91619arXiv1503.04979MaRDI QIDQ5373908

Stefan Waldenberger

Publication date: 6 April 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.04979

zbMATH Keywords

market modelsaffine processesinflation options

Mathematics Subject Classification ID

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

Related Items

INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA ⋮ Rational Models for Inflation-Linked Derivatives

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