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Inflation derivatives have been trading for over a decade starting in the UK in the early 1990s. Since 2000, the market for inflation derivatives has seen a rapid growth in volumes and in types of products across various markets and linked to various domestic and regional inflation indices: UKRPI, French CPI, Eurozone HICP, US CPI, etc. Monthly trading volumes in excess of EUR 5 billion were recorded in 2003 and the market is set to show further growth in 2004.

Sections of this site point out public domain studies, including books, research papers, and items in the financial press on the subject as well as links to other useful websites.

Before getting started on inflation derivatives, however, one needs a solid understanding of the underlying asset class: inflation-indexed bonds. Several books have been written on this topic in recent years, mostly collections of papers rather than comprehensive texts—see publications link above—however, there is one book that is considered the leading reference on this important asset class. First published in 1998, it is now appearing in its second edition with expanded and comprehensive coverage of all sovereign inflation-indexed markets, as well as coverage of the new and expanding area of inflation derivatives.

The new book by Deacon, Derry, and Mirfendereski will be published in Europe on 15 January, 2004 by John Wiley and Sons. The book has a foreword by Sir Edward George and has already received excellent reviews from both market practitioners and academics. The US edition will be published in March 2004.