Henrik Dam

University of Copenhagen

Nørregade 10

Copenhagen, København DK-1165

Denmark

  • University of Copenhagen

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Rational Models for Inflation-Linked Derivatives

SIAM Journal on Financial Mathematics
Number of pages: 32 Posted: 05 Feb 2018 Last Revised: 15 Jul 2020
Henrik Dam, Andrea Macrina, David Skovmand and David Sloth
University of Copenhagen, University College London, University of Copenhagen and Danske Bank - Danske Markets
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Citation 2

Abstract:

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Inflation-linked derivatives, rational term structure models, convexity adjustment, calibration, pricing kernels, year-on-year swap, limited price index