Optimal Annuity Portfolio Under Inflation Risk
In: 2015, Computational Management Science: 12(3):461-488
311 Ergebnisse
Sortierung:
In: 2015, Computational Management Science: 12(3):461-488
SSRN
In: Quantitative Finance, Band 10, Heft 3, S. 279-293
This paper advances a pricing model for inflation linked bonds. Our proposal is developed starting from a Vasicek model of the instantaneous inflation rate process (Vasicek, 1977) and the Cox, Ingersoll, and Ross (CIR) model for the nominal instantaneous risk-free interest rate process (Cox, Ingersoll, Ross, 1985). Instead of adopting the standard approach of a cross-section estimation of the term structure of real interest rates, this work proposes a pricing model based on the estimation of inflation risk premium. The model is applied to Treasury Inflation Protected Securities (TIPS's), which are inflation linked bonds issued by the U. S. Department of the Treasury. Empirical validation is carried out on data in the period 1999-2005.
In: NBER working paper series 7812
In: NBER Working Paper No. w7812
SSRN
SSRN
Working paper
In: SIAM Journal on Financial Mathematics
SSRN
Working paper
SSRN
SSRN
In: Journal of Investment Consulting, Band 17, Heft 2, S. 59-68
SSRN
SSRN
Working paper
In: Simon , Z 2016 , ' Essays on sovereign bond pricing and inflation-linked products ' , Doctor of Philosophy , Tilburg University , Tilburg .
This doctoral dissertation consists of three chapters on the pricing of sovereign debt and inflation-linked products. The first chapter examines the relative pricing of nominal and inflation-linked debt of the three largest Eurozone sovereign issuers. Its main contribution is to present evidence of a selective default premium in real bond yields. The second chapter shifts its focus to the US inflation-linked product markets and quantifies liquidity premium in TIPS and inflation swap rates. The size of this compensation for exposure to asset level and liquidity risk helps to explain a large part of the TIPS-Treasury puzzle. The third chapter studies whether nominal bond markets are segmented across different maturities and contributes to the policy discussion on long term discount rates of the Solvency II Directive of the European Union.
BASE
In: International economics and economic policy, Band 18, Heft 1, S. 223-244
ISSN: 1612-4812
In: Occasional paper series 62
In: The quarterly review of economics and finance, Band 51, Heft 3, S. 225-235
ISSN: 1062-9769
In: Forthcoming in the Journal of Portfolio Management
SSRN