Browsing Theses by Author "Ruest, Eric"
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Inflation derivatives pricing with a forward CPI model
Ruest, Eric (University of Waterloo, 2010-05-21)The Zero-Coupon Inflation Indexed Swap (ZCIIS) is a derivative contract through which inflation expectations on the Consumer Price Index (CPI) are actively traded in the US. In this thesis we consider different ways to use ...