Paul Canty

Deutsche Bank AG (London)

Inflation Trading, Director

Winchester House

1 Great Winchester Street

London, EC2N 2DB

United Kingdom

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Scholarly Papers (1)

1.

Pricing Inflation Indexed Derivatives: A Reinterpretation of the Jarrow-Yildirim model

Posted: 30 Jul 2008 Last Revised: 22 Jun 2016
Deutsche Bank AG (London) and Deutsche Bank, Fixed Income Research

Abstract:

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Inflation indexed derivatives, Jarrow and Yildirim model, Zero Coupon and Year-on-Year volatility