Convexity adjustments in inflation-linked derivatives

The market for inflation-linked derivatives has grown rapidly in recent years. Inflation is now regarded as an independent asset class. Actively traded inflation derivatives include standard zero-coupon inflation swaps, as well as more complicated products such as period-on-period inflation swaps (Mercurio, 2005), inflation caps (Mercurio, 2005), inflation swaptions (Kerkhof, 2005) and futures contracts written on inflation (Crosby, 2007).Dorje Brody is a reader in mathematics at Imperial Colleg

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: