Inflation derivatives pricing with a forward CPI model
The Zero-Coupon Inflation Indexed Swap (ZCIIS) is a derivative contract through which inflation expectations on the Consumer Price Index (CPI) are actively traded in the US. In this thesis we consider different ways to use the information from the ZCIIS market for modeling forward inflation in a ris...
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| Language: | en |
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2010
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| Online Access: | http://hdl.handle.net/10012/5238 |