Inflation Derivatives

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.

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Report (Working Paper)

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Date Deposited:

21 Mar 2022 09:45

Last Modified:

13 Dec 2022 12:48


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