摘要： •Propose affine model capturing inflation premium, nominal and real interest rates.•Pricing of zero-coupon inflation-indexed swaps.•Pricing of year-on-year inflation-indexed swaps.•Pricing of inflation-indexed swaptions.•Pricing of inflation-indexed caps and floors. This paper proposes an affine-based approach which jointly captures the nominal interest rate, the real interest rate, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year-on-year inflation-indexed swaps, inflation-indexed swaptions, and inflation-indexed caps and floors. We provide an example and explain how to use traded zero-coupon inflation-indexed swap rates to estimate inflation risk premiums. 出版者： Amsterdam: Elsevier B.V 出版日期： 2014-05-16 出處： European journal of operational research, 2014-05, Vol.235 (1), p.159-169 版權： 2013 版權： Copyright Elsevier Sequoia S.A. May 16, 2014 識別號： ISSN: 0377-2217 識別號： EISSN: 1872-6860 識別號： DOI: 10.1016/j.ejor.2013.12.010 識別號： CODEN: EJORDT
