Treasury inflation-protected securities (Tips)
The road to high yield
The low-risk arbitrage opportunities found in the institutional structured products market this year may not be so common in 2010. Instead, more stable financial markets are expected to herald the return of product lines that can deliver extra yield
The asset swap lifeline
The financial crisis created a major dislocation between inflation-linked and nominal government bonds, resulting in a huge opportunity for investors to benefit through asset swaps. How did banks and their clients respond to this? By Peter Madigan
Sponsored statement: Inflation derivatives – history in the making
It has been a roller-coaster ride of a year for inflation-linked products – thanks to the global economic problems that everybody has been encountering, the collapse of Lehman Brothers and the use of quantitative easing by central banks – in their…
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Inflation
Inflated or deflated?
Inflation trading
Tips options in the Jarrow-Yildirim model
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model