Pricing Inflation Derivatives : A survey of short rate- and market models
This thesis presents an overview of strategies for pricing inflation derivatives. The paper is structured as follows. Firstly, the basic definitions and concepts such as nominal-, real- and inflation rates are introduced. We introduce the benchmark contracts of the inflation derivatives market, and...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2012
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-107428 |