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

Güney, Ibrahim Ethem

Softcover

ISBN 10: 3846509051 ISBN 13: 9783846509050

Verlag: LAP LAMBERT Academic Publishing, 2011

Inhaltsangabe

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.

Über diesen Titel

Über die Autorin bzw. den 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.

Details zur Ausgabe

• Verlag: LAP LAMBERT Academic Publishing
• Erscheinungsdatum: 2011
• Sprache: Englisch
• ISBN 10: 3846509051
• ISBN 13: 9783846509050
• Einband: Taschenbuch
• Anzahl der Seiten: 96
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: SIA OmniScriptum Publishing; customerservice@vdm-vsg.de; ; Brivibas gatve 197; Riga; 1039; Lettland