Treasury inflation-protected securities (Tips)
The asset swap lifeline
The financial crisis created a major dislocation between inflation-linked and nominal government bonds, resulting in a huge opportunity for investors to benefit through asset swaps. How did banks and their clients respond to this? By Peter Madigan
Sponsored statement: Inflation derivatives – history in the making
It has been a roller-coaster ride of a year for inflation-linked products – thanks to the global economic problems that everybody has been encountering, the collapse of Lehman Brothers and the use of quantitative easing by central banks – in their…
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Inflation
Inflated or deflated?
Inflation trading
Tips options in the Jarrow-Yildirim model
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model