Hughston, L P. 1998. Inflation Derivatives. Working Paper. King’s College London, London. [Report]

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Abstract or Description

A general theory for the pricing and hedging of inflation-linked derivatives is outlined in a complete market setting with no arbitrage. The market consists of nominal discount bonds and real discount bonds, together with the consumer price index, which acts as a kind of exchange rate to determine the nominal payout of a real discount bond at maturity. An analogy with foreign exchange is suggested as a basis for the design of new products.

Item Type:	Report (Working Paper)
Departments, Centres and Research Units:	Computing
Date:	1998
Item ID:	31643
Date Deposited:	21 Mar 2022 09:45
Last Modified:	13 Dec 2022 12:48
URI:	https://research.gold.ac.uk/id/eprint/31643

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