Call Us 080-41656200 (Mon-Sat: 10AM-8PM)
Free Shipping above Rs. 1499
Cash On Delivery*

A Market Model For Pricing Inflation Indexed Bonds

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
Delivery in :  10-12 Business Days

 

Check Your Delivery Options

 
Rs. 3,651

Availability: In stock

 
  • Product Description
 

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.

Product Specifications
SKU :COC69905
AuthorIbrahim Ethem Güney
LanguageEnglish
BindingPaperback
Number of Pages96
Publishing Year2011-09-30T00:00:00.000
ISBN978-3846509050
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00