Archive for December, 2011

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003)

Jarrow, Robert and Yildirim, Yildiray. Journal of Financial and Quantitative Analysis, vol 38, no. 2, June 2003.

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Measuring the Level and Uncertainty of Trend Inflation (2011)

by Elmar Mertens. Federal Reserve Board Finance and Economics Discussion Series 2011-42

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