TY - JOUR
T1 - Affine model of inflation-indexed derivatives and inflation risk premium
AU - Ho, Hsiao Wei
AU - Huang, Henry H.
AU - Yildirim, Yildiray
PY - 2014/5/16
Y1 - 2014/5/16
N2 - 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. Crown
AB - 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. Crown
KW - Affine models
KW - Inflation risk premium
KW - Inflation-indexed derivatives
UR - http://www.scopus.com/inward/record.url?scp=84895065537&partnerID=8YFLogxK
U2 - 10.1016/j.ejor.2013.12.010
DO - 10.1016/j.ejor.2013.12.010
M3 - 期刊論文
AN - SCOPUS:84895065537
SN - 0377-2217
VL - 235
SP - 159
EP - 169
JO - European Journal of Operational Research
JF - European Journal of Operational Research
IS - 1
ER -