Publications

BibTex format

@article{Brody:2008,
author = {Brody, DC and Crosby, J and Li, H},
journal = {Risk Magazine},
pages = {124--129},
title = {Convexity adjustments in inflation-linked derivatives},
url = {http://www.risk.net/public/showPage.html?validate=0&page=risknet_login2_tech&url=%2Fpublic%2FshowPage.html%3Fpage%3D813203},
volume = {September},
year = {2008}
}

Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed payment and period-on-period inflation swaps with delayed payments are obtained in closed form by explicitly calculating the relevant convexity adjustments. These results are then applied to value limited price indexation swaps using Ryten’s (2007) common factor representation methodology.
AU  - Brody,DC
AU  - Crosby,J
AU  - Li,H
EP  - 129
PY  - 2008///
SP  - 124
TI  - Convexity adjustments in inflation-linked derivatives
T2  - Risk Magazine
UR  - http://www.risk.net/public/showPage.html?validate=0&page=risknet_login2_tech&url=%2Fpublic%2FshowPage.html%3Fpage%3D813203
VL  - September
ER  -

Download

Professor Dorje Brody

Contact

Location

Summary

Citation

BibTex format

RIS format (EndNote, RefMan)