http://scholars.ntou.edu.tw/handle/123456789/18691
Title: | Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium | Authors: | Hsiao-Wei Ho Henry H. Huang Yildiray Yildirim |
Keywords: | Inflation-indexed derivatives;Inflation risk premium;Affine models | Issue Date: | 16-May-2014 | Journal Volume: | 235 | Journal Issue: | 1 | Start page/Pages: | 159-169 | Abstract: | This paper proposes an affine-based approach which jointly captures the nominal interest rate, the real interest rate, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year-on-year inflation-indexed swaps, inflation-indexed swaptions, and inflation-indexed caps and floors. We provide an example and explain how to use traded zero-coupon inflation-indexed swap rates to estimate inflation risk premiums. |
URI: | http://scholars.ntou.edu.tw/handle/123456789/18691 | DOI: | 10.1016/j.ejor.2013.12.010 |
Appears in Collections: | 海洋經營管理學士學位學程(系) |
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