Logo
 About this websiteProgramsReference ListOther Web Links


Front Cover of new book: Inflation-Indexed Securities: Bonds, Swaps and Other Derivatives

... will be the leading reference on this important asset class -- John Campbell

buy through amazon.co.uk:

In Association with Amazon.co.uk

Books

De Cecco, Marcello, Lorenzo Pecchi, and Gustavo Piga (1997) Managing Public Debt—Index-Linked Bonds in Theory and Practice, Edward Elgar, Cheltenham, UK.

Deacon, M. and A. Derry (1998) Inflation-Indexed Securities (1st Ed.), Prentice Hall — see new expanded and updated 2nd Ed., including chapters on inflation derivatives.

Brynjolfsson, J. and F.J. Fabozzi (1999) Handbook of Inflation Indexed Bonds, Frank J. Fabozzi Associates.

Das, S. (2001) Structured Notes and Hybrid Securities - Frontiers in Finance, John Wiley and Sons, January 2001 — Chapter 14: Inflation-indexed Notes and Related Derivatives.

Flavell, R. (2002) Swaps and Other Derivatives, John Wiley and Sons, April 2002 — Section 10.5.

 

Papers, Articles, etc.

Alaton, Peter (1997) “Swap Markets: A Real Rate Swap,” Risk Magazine—Nordic Markets Supplement 12-13, December 1997.

Kazziha, S. (1999) "Interest Rate Models, Inflation-based Derivatives, Trigger Notes And Cross-Currency Swaptions" PhD Thesis, Imperial College of Science, Technology and Medicine, January 1999.

Borgy, Jean-Francois and Couzineau, Guillaume (2001) “Hedging the Euro,” Risk Magazine, Vol. 14, No. 12, December 2001.

Huang, Hong-Chih, and Andrew J.G. Cairns (2002) “Valuation and Hedging of LPI Liabilities,” Working Paper, 2002.

Jarrow, R. and Yildirim, Y. (2003) "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model" Journal of Financial and Quantitative Analysis, July 2003.

Patel, Navroz (2003) “The Fashionable Link,” Risk Magazine 59-60, March 2003.