We show that the price of a Treasury bond and an inflation‐swapped Treasury Inflation‐
Protected Securities (TIPS) issue exactly replicating the cash flows of the Treasury bond can …

This paper is a selective survey of new or recent methods to extract information about market
expectations from asset prices for monetary policy purposes. Traditionally, interest rates and …

This paper uses an HJM model to price TIPS and related derivative securities. First, using
the market prices of TIPS and ordinary US Treasury securities, both the real and nominal …

We study the nature of deflation risk by extracting the objective distribution of inflation from
the market prices of inflation swaps and options. We find that the market expects inflation to …

US Treasury Inflation-Indexed Securities (commonly known as TIPS) were first issued in
January 1997. Through the third quarter of 2003, 12 TIPS had been issued, with original …

We estimate the value of the embedded option in US Treasury Inflation-Protected Securities
(TIPS). The embedded option value exhibits time variation that is correlated with periods of …

We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly
replicating the cash flows of the Treasury bond can differ by more than $20 per $100 …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Derivatemärkte bieten den Wirtschaftssubjekten verbesserte und erweiterte Möglichkeiten
zur Transformation von Risiken, die Separation einzelner Risikobestandteile und damit die …

This paper presents new insights into the dynamics and determinants of arbitrage mispricing
in and across seven of the world's largest and most liquid financial markets. Specifically, this …