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

Güney, Ibrahim Ethem

 
9783846509050: A Market Model For Pricing Inflation Indexed Bonds: Pricing Inflation Indexed Bonds With Jumps Incorporation
Couverture souple
ISBN 10 : 3846509051 ISBN 13 : 9783846509050
Editeur : LAP LAMBERT Academic Publishing, 2011

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Biographie de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3846509051
ISBN 13 
9783846509050
Reliure
Broché
Nombre de pages
96
Coordonnées du fabricant
non disponible
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