23 citations · 66 across the 10 of their papers we have counts for
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q-fin.MF2020★ 1 cited
Inflation, ECB and short-term interest rates: A new model, with calibration to market data
F. Antonacci, C. Costantini, F. D'Ippoliti +1
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, c…
q-fin.MF2019
Risk Neutral Valuation of Inflation-Linked Interest Rate Derivatives
Flavia Antonacci, Cristina Costantini, Fernanda D'Ippoliti +1
We propose a model for the joint evolution of European inflation, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous tim…