Archive for January, 2011

Maximizing Personal Surplus: Liability-Driven Investment for Individuals

Michael Ashton, Working Paper (Oct 2010)

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Disaggregated TIPS: The Case for Disaggregating Inflation-linked Bonds into Bonds Linked to Narrower CPI Components

William W. Jennings, Working Paper Series (Sep 2004)

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Inflation-Linked Corporate Bond Spreads – Are Corporate Linkers Really As Rich As They Look?

Michael Ashton. This article was originally published in The Euromoney Derivatives & Risk Management Handbook 2008/09. For further information, please visit www.euromoney-yearbooks.com/handbooks

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Forecasting Mexico’s Inflation: the Effects of an Inflation Targeting Regime

Juan Carlos Suarez Serrato, Proceedings of the 5th Annual Carroll Round (2006)

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Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico

Bailliu, Garcs, Kruger, Messmacher, Bank of Canada Working Paper (2003)

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Modelling Inflation in Australia

Ericsson and deBrouwer, Reserve Bank of Australia Research Discussion Papers (1995)

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A Markov-Switching Model of Inflation in Australia

John Simon, Reserve Bank of Australia Research Discussion Papers (1996)

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Impact of Seasonality in Inflation Derivatives Pricing

Belgrade and Benhamou, working paper, August 2004

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Reconciling Year on Year and Zero Coupon Inflation Swap: A Market Model Approach

Belgrade and Benhamou, working paper, August 2004

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A Market Model for Inflation

Belgrade, Benhamou, and Koehler, working paper, Jan 2004

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