Rational Models for Inflation-Linked Derivatives
Rational Models for Inflation-Linked Derivatives
Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 27 December 2018Accepted: 02 July 2020Published online: 14 October 2020Keywordsinflation-linked derivatives, rational term structure models, convexity adjustment, calibration, pricing kernels, year-on-year swap, limited price indexAMS Subject Headings91B25, 91G20, 91G30, 91G99Publication DataISSN (online): 1945-497XPublisher: …