Cross-Hedging of Inflation Derivatives on Commodities

Nicolas Fulli-Lemaire; Ernesto Palidda

doi:10.3905/jai.2016.18.3.057

Cross-Hedging of Inflation Derivatives on Commodities

Nicolas Fulli-Lemaire and Ernesto Palidda

The Journal of Alternative Investments Winter 2016, 18 (3) 57-73; DOI: https://doi.org/10.3905/jai.2016.18.3.057

Nicolas Fulli-Lemaire

Nicolas Fulli-Lemaire is a research analyst at Amundi Asset Management and at the University of Paris II in Paris, France.

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For correspondence: nicolas.fulli-lemaire@hotmail.com

Ernesto Palidda

Ernesto Palidda is a VP at an Investment Bank in London.

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For correspondence: ernesto.palidda@gmail.com

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The Journal of Alternative Investments

Vol. 18, Issue 3

Winter 2016

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Cross-Hedging of Inflation Derivatives on Commodities