Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model

By Robert A. Jarrow, Yildiray Yildirim. Journal of Financial and Quantitative Analysis, 2003

197 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9aefc475947d5efe5ef6c830a2ce9d74064c42fa

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Citations in the corpus

• Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps (2011, unknown): “6 (26)Jarrow and Yildirim (2003) obtain a comparable inflation volatility estimate of 87 basis points.”
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, methodology): “We see that the stochastic inflation index model in this paper is a particular case of the JY model in Jarrow and Yildirim (2003) when the nominal interest rate is an Ornstein–Uhlenbeck process and the real interest rate is non-random.”