• Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
A Market Model For Pricing Inflation Indexed Bonds

A Market Model For Pricing Inflation Indexed Bonds

Paperback

Business General

Currently unavailable to order

ISBN10: 3846509051
ISBN13: 9783846509050
Publisher: Lap Lambert Academic Pub
Published: Sep 30 2011
Pages: 96
Weight: 0.33
Height: 0.23 Width: 6.00 Depth: 9.00
Language: English
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.

Also in

Business General