Inflation-Adjusted Bonds, Swaps, and Derivatives
本文综述通胀调整债券、互换和衍生品的文献，用HJM模型的外汇扩展进行估值和风险管理，并指出通胀衍生品市场效率和估值模型比较的研究空白。
The purpose of this article is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in the extended model are real and nominal prices. Currently, for their use in monetary policy, the empirical literature primarily uses these models to estimate both the expected inflation rate and the inflation risk premium. A literature investigating the efficiency of the inflation derivative markets and a comparison of the relevant valuation models is almost nonexistent and a fruitful area for future research.