Valuing inflation futures contracts

The market for inflation-linked derivatives has grown exponentially in recent years. This has resulted in futures contracts, written on inflation, being introduced in the US and Europe in order to give market participants hedging tools. These contracts also provide a vehicle for traders and speculators, such as hedge funds, to take positions that reflect their opinions about future inflation.

Indeed, the most recently published data (at the time this article was originally prepared in December

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