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A Market Model For Pricing Inflation Indexed Bonds: Pricing Inflation Indexed Bonds With Jumps Incorporation - Tapa blanda

Güney, Ibrahim Ethem

 
9783846509050: A Market Model For Pricing Inflation Indexed Bonds: Pricing Inflation Indexed Bonds With Jumps Incorporation
Tapa blanda
ISBN 10: 3846509051 ISBN 13: 9783846509050
Editorial: LAP LAMBERT Academic Publishing, 2011

Sinopsis

Protection against inflation is an essential part of the today's financial markets, particularly in high-inflation economies. Hence, nowadays inflation indexed instruments are being increasingly popular in the world financial markets. In this study, we focus on pricing of the inflation-indexed bonds which are the unique inflation-indexed instruments traded in the Turkish bond market. Firstly, we review the Jarrow-Yıldırım model which deals with pricing of the inflation-indexed instruments within the HJM framework. Then, we propose a pricing model that is an extension of the Jarrow-Yıldırım model. The model allows instantaneous forward rates, inflation index and bond prices to be driven by both a standard Brownian motion and a finite number of Poisson processes. A closed-form pricing formula for an European call option on the inflation index is also derived.

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Reseña del editor

Protection against inflation is an essential part of the today's financial markets, particularly in high-inflation economies. Hence, nowadays inflation indexed instruments are being increasingly popular in the world financial markets. In this study, we focus on pricing of the inflation-indexed bonds which are the unique inflation-indexed instruments traded in the Turkish bond market. Firstly, we review the Jarrow-Yıldırım model which deals with pricing of the inflation-indexed instruments within the HJM framework. Then, we propose a pricing model that is an extension of the Jarrow-Yıldırım model. The model allows instantaneous forward rates, inflation index and bond prices to be driven by both a standard Brownian motion and a finite number of Poisson processes. A closed-form pricing formula for an European call option on the inflation index is also derived.

Biografía del autor

Ibrahim Ethem Güney took his Bachelor degree in the field of Mathematics and the Master of Science degree in the field of Financial Mathematics from Turkey. He is currently a Finance PhD student in Swiss Finance Institute and a Mathematics PhD student in University of Zurich.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
LAP LAMBERT Academic Publishing
Año de publicación
2011
Idioma
Inglés
ISBN 10 
3846509051
ISBN 13 
9783846509050
Encuadernación
Tapa blanda
Número de páginas
96
Contacto del fabricante
no disponible
Persona responsable
no disponible