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A Market Model For Pricing Inflation Indexed Bonds: Pricing Inflation Indexed Bonds With Jumps Incorporation - Softcover
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.
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About the Author
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.
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A Market Model For Pricing Inflation Indexed Bonds
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LAP LAMBERT Academic Publishing Sep 2011, 2011
ISBN 10: 3846509051
ISBN 13: 9783846509050
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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-Y ld r m 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-Y ld r m 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. 96 pp. Englisch. Seller Inventory # 9783846509050
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A Market Model For Pricing Inflation Indexed Bonds
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Editorial Academica Espanola, 2011
ISBN 10: 3846509051
ISBN 13: 9783846509050
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A Market Model For Pricing Inflation Indexed Bonds : Pricing Inflation Indexed Bonds With Jumps Incorporation
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LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3846509051
ISBN 13: 9783846509050
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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-Y ld r m 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-Y ld r m 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. Seller Inventory # 9783846509050
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A Market Model For Pricing Inflation Indexed Bonds
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Condition: New. Print on Demand pp. 96 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam. Seller Inventory # 95318524
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A Market Model For Pricing Inflation Indexed Bonds
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Gueney Ibrahim EthemIbrahim Ethem Gueney 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 In. Seller Inventory # 5495523
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A Market Model For Pricing Inflation Indexed Bonds
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A Market Model For Pricing Inflation Indexed Bonds
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LAP LAMBERT Academic Publishing Sep 2011, 2011
ISBN 10: 3846509051
ISBN 13: 9783846509050
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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-Y¿ld¿r¿m 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-Y¿ld¿r¿m 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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 96 pp. Englisch. Seller Inventory # 9783846509050