Pricing inflation and interest rates derivatives with macroeconomic foundations
I develop a model to price inflation and interest rates derivatives using continuous-time dynamics linked to monetary macroeconomic models: in this approach the reaction function of the central bank, the bond market liquidity, and expectations play an important role. The model explains the effects o...
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Imperial College London
2015
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.749060 |