Inflation Derivatives

Hughston, L P. 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

Item ID:

31643

Date Deposited:

21 Mar 2022 09:45

Last Modified:

21 Mar 2022 10:00

URI:

https://research.gold.ac.uk/id/eprint/31643

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