http://scholars.ntou.edu.tw/handle/123456789/18691| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Hsiao-Wei Ho | en_US |
| dc.contributor.author | Henry H. Huang | en_US |
| dc.contributor.author | Yildiray Yildirim | en_US |
| dc.date.accessioned | 2021-11-24T03:34:18Z | - |
| dc.date.available | 2021-11-24T03:34:18Z | - |
| dc.date.issued | 2014-05-16 | - |
| dc.identifier.uri | http://scholars.ntou.edu.tw/handle/123456789/18691 | - |
| dc.description.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. | en_US |
| dc.language.iso | en | en_US |
| dc.subject | Inflation-indexed derivatives | en_US |
| dc.subject | Inflation risk premium | en_US |
| dc.subject | Affine models | en_US |
| dc.title | Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium | en_US |
| dc.type | journal article | en_US |
| dc.identifier.doi | 10.1016/j.ejor.2013.12.010 | - |
| dc.relation.journalvolume | 235 | en_US |
| dc.relation.journalissue | 1 | en_US |
| dc.relation.pages | 159-169 | en_US |
| item.cerifentitytype | Publications | - |
| item.openairetype | journal article | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
| item.fulltext | no fulltext | - |
| item.grantfulltext | none | - |
| item.languageiso639-1 | en | - |
| crisitem.author.dept | College of Maritime Science and Management | - |
| crisitem.author.dept | Bachelor Degree Program in Ocean Business Management | - |
| crisitem.author.dept | National Taiwan Ocean University,NTOU | - |
| crisitem.author.parentorg | National Taiwan Ocean University,NTOU | - |
| crisitem.author.parentorg | College of Maritime Science and Management | - |
| Appears in Collections: | 海洋經營管理學士學位學程(系) | |
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