A Market Model For Pricing Inflation Indexed Bonds

Language: English

Published by LAP LAMBERT Academic Publishing Sep 2011, 2011

3846509051 / 9783846509050

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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

Title
A Market Model For Pricing Inflation Indexed Bonds
Author
Ibrahim Ethem Güney
Publisher
LAP LAMBERT Academic Publishing Sep 2011
Publication year
2011
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3846509051
ISBN 13
9783846509050
Item weight
161 grams
Dimensions
220x150x6 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

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