Pricing Inflation Linked Bonds
Abstract: This paper advances a pricing model for inflation linked bonds. Our proposal is developed starting from a Vasicek model of the instantaneous inflation rate process (Vasicek, 1977) and the Cox, Ingersoll, and Ross (CIR) model for the nominal instantaneous risk-free interest rate process (Cox, Ingersoll, Ross, 1985). Instead of adopting the standard approach of a cross-section estimation of the term structure of real interest rates, this work proposes a pricing model based on the estimation of inflation risk premium. The model is applied to Treasury Inflation Protected Securities (TIPS's), which are inflation linked bonds issued by the U. S. Department of the Treasury. Empirical validation is carried out on data in the period 1999-2005
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Anmerkungen
-
Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 10 (2010) 3 ; 279-293
- Klassifikation
-
Wirtschaft
- Ereignis
-
Veröffentlichung
- (wo)
-
Mannheim
- (wann)
-
2010
- Urheber
-
Pelizzari, Cristian
Paolo, Falbo
- DOI
-
10.1080/14697680802613057
- URN
-
urn:nbn:de:0168-ssoar-233188
- Rechteinformation
-
Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
- 15.08.2025, 07:22 MESZ
Datenpartner
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Pelizzari, Cristian
- Paolo, Falbo
Entstanden
- 2010
Ähnliche Objekte (12)
Pricing Inflation Linked Bonds
Inflation-Linked Bonds
Inflation-linked Bonds: An Introduction
Inflation-linked bonds from a Central Bank perspective
Macroeconomic drivers and the pricing of uncertainty, inflation, and bonds
Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia
Stable weak approximation at work in index-linked catastrophe bond pricing
Growth-Linked Bonds
Inflation-indexed bonds
Inflation-linked bonds and derivatives : investing, hedging and valuation principles for practitioners
Bond pricing and the macroeconomy
Realized moments and bond pricing
Pricing Inflation Linked Bonds
Inflation-Linked Bonds
Inflation-linked Bonds: An Introduction
Inflation-linked bonds from a Central Bank perspective
Macroeconomic drivers and the pricing of uncertainty, inflation, and bonds
Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia
Stable weak approximation at work in index-linked catastrophe bond pricing
Growth-Linked Bonds
Inflation-indexed bonds
Inflation-linked bonds and derivatives : investing, hedging and valuation principles for practitioners
Bond pricing and the macroeconomy
Realized moments and bond pricing
Pricing Inflation Linked Bonds
Inflation-Linked Bonds
Inflation-linked Bonds: An Introduction
Inflation-linked bonds from a Central Bank perspective
Macroeconomic drivers and the pricing of uncertainty, inflation, and bonds
Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia
Stable weak approximation at work in index-linked catastrophe bond pricing
Growth-Linked Bonds
Inflation-indexed bonds
Inflation-linked bonds and derivatives : investing, hedging and valuation principles for practitioners
Bond pricing and the macroeconomy