FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W47572351> ?p ?o ?g. }

• W47572351 abstract "In this thesis diverse problems concerning inflation-linked products are dealt with. To start with, two models for inflation are presented, including a geometric Brownian motion for consumer price index itself and an extended Vasicek model for inflation rate. For both suggested models the pricing formulas of inflation-linked products are derived using the risk-neutral valuation techniques. As a result Black and Scholes type closed form solutions for a call option on inflation index for a Brownian motion model and inflation evolution for an extended Vasicek model as well as for an inflation-linked bond are calculated. These results have been already presented in Korn and Kruse (2004) [17]. In addition to these inflation-linked products, for the both inflation models the pricing formulas of a European put option on inflation, an inflation cap and floor, an inflation swap and an inflation swaption are derived. Consequently, basing on the derived pricing formulas and assuming the geometric Brownian motion process for an inflation index, different continuous-time portfolio problems as well as hedging problems are studied using the martingale techniques as well as stochastic optimal control methods. These utility optimization problems are continuous-time portfolio problems in different financial market setups and in addition with a positive lower bound constraint on the final wealth of the investor. When one summarizes all the optimization problems studied in this work, one will have the complete picture of the inflation-linked market and both counterparts of market-participants, sellers as well as buyers of inflation-linked financial products. One of the interesting results worth mentioning here is naturally the fact that a regular risk-averse investor would like to sell and not buy inflation-linked products due to the high price of inflation-linked bonds for example and an underperformance of inflation-linked bonds compared to the conventional risk-free bonds. The relevance of this observation is proved by investigating a simple optimization problem for the extended Vasicek process, where as a result we still have an underperforming inflation-linked bond compared to the conventional bond. This situation does not change, when one switches to an optimization of expected utility from the purchasing power, because in its nature it is only a change of measure, where we have a different deflator. The negativity of the optimal portfolio process for a normal investor is in itself an interesting aspect, but it does not affect the optimality of handling inflation-linked products compared to the situation not including these products into investment portfolio. In the following, hedging problems are considered as a modeling of the other half of inflation market that is inflation-linked products buyers. Natural buyers of these inflation-linked products are obviously institutions that have payment obligations in the future that are inflation connected. That is why we consider problems of hedging inflation-indexed payment obligations with different financial assets. The role of inflation-linked products in the hedging portfolio is shown to be very important by analyzing two alternative optimal hedging strategies, where in the first one an investor is allowed to trade as inflation-linked bond and in the second one he is not allowed to include an inflation-linked bond into his hedging portfolio. Technically this is done by restricting our original financial market, which is made of a conventional bond, inflation index and a stock correlated with inflation index, to the one, where an inflation index is excluded. As a whole, this thesis presents a wide view on inflation-linked products: inflation modeling, pricing aspects of inflation-linked products, various continuous-time portfolio problems with inflation-linked products as well as hedging of inflation-related payment obligations." @default.
• W47572351 created "2016-06-24" @default.
• W47572351 creator A5017366349 @default.
• W47572351 date "2006-01-01" @default.
• W47572351 modified "2023-09-27" @default.
• W47572351 title "Inflation-linked Products and Optimal Investment with Macro Derivatives" @default.
• W47572351 cites W1489605740 @default.
• W47572351 cites W1534869585 @default.
• W47572351 cites W1575416779 @default.
• W47572351 cites W1578797051 @default.
• W47572351 cites W1591398478 @default.
• W47572351 cites W1974480280 @default.
• W47572351 cites W2020204219 @default.
• W47572351 cites W2070801479 @default.
• W47572351 cites W2082372111 @default.
• W47572351 cites W2108016480 @default.
• W47572351 cites W2138980667 @default.
• W47572351 cites W3021400041 @default.
• W47572351 cites W3021444882 @default.
• W47572351 cites W3122990263 @default.
• W47572351 cites W3124372284 @default.
• W47572351 cites W615215499 @default.
• W47572351 hasPublicationYear "2006" @default.
• W47572351 type Work @default.
• W47572351 sameAs 47572351 @default.
• W47572351 citedByCount "2" @default.
• W47572351 countsByYear W475723512013 @default.
• W47572351 crossrefType "journal-article" @default.
• W47572351 hasAuthorship W47572351A5017366349 @default.
• W47572351 hasConcept C10138342 @default.
• W47572351 hasConcept C101615488 @default.
• W47572351 hasConcept C106159729 @default.
• W47572351 hasConcept C121332964 @default.
• W47572351 hasConcept C126285488 @default.
• W47572351 hasConcept C136264566 @default.
• W47572351 hasConcept C144237770 @default.
• W47572351 hasConcept C149782125 @default.
• W47572351 hasConcept C154815372 @default.
• W47572351 hasConcept C162324750 @default.
• W47572351 hasConcept C165556158 @default.
• W47572351 hasConcept C175025494 @default.
• W47572351 hasConcept C200941418 @default.
• W47572351 hasConcept C201608381 @default.
• W47572351 hasConcept C2780378061 @default.
• W47572351 hasConcept C2780569737 @default.
• W47572351 hasConcept C2780821815 @default.
• W47572351 hasConcept C33332235 @default.
• W47572351 hasConcept C68710425 @default.
• W47572351 hasConceptScore W47572351C10138342 @default.
• W47572351 hasConceptScore W47572351C101615488 @default.
• W47572351 hasConceptScore W47572351C106159729 @default.
• W47572351 hasConceptScore W47572351C121332964 @default.
• W47572351 hasConceptScore W47572351C126285488 @default.
• W47572351 hasConceptScore W47572351C136264566 @default.
• W47572351 hasConceptScore W47572351C144237770 @default.
• W47572351 hasConceptScore W47572351C149782125 @default.
• W47572351 hasConceptScore W47572351C154815372 @default.
• W47572351 hasConceptScore W47572351C162324750 @default.
• W47572351 hasConceptScore W47572351C165556158 @default.
• W47572351 hasConceptScore W47572351C175025494 @default.
• W47572351 hasConceptScore W47572351C200941418 @default.
• W47572351 hasConceptScore W47572351C201608381 @default.
• W47572351 hasConceptScore W47572351C2780378061 @default.
• W47572351 hasConceptScore W47572351C2780569737 @default.
• W47572351 hasConceptScore W47572351C2780821815 @default.
• W47572351 hasConceptScore W47572351C33332235 @default.
• W47572351 hasConceptScore W47572351C68710425 @default.
• W47572351 hasLocation W475723511 @default.
• W47572351 hasOpenAccess W47572351 @default.
• W47572351 hasPrimaryLocation W475723511 @default.
• W47572351 hasRelatedWork W174420399 @default.
• W47572351 hasRelatedWork W198266727 @default.
• W47572351 hasRelatedWork W1993443471 @default.
• W47572351 hasRelatedWork W2053475462 @default.
• W47572351 hasRelatedWork W2100364383 @default.
• W47572351 hasRelatedWork W2148526502 @default.
• W47572351 hasRelatedWork W2185009895 @default.
• W47572351 hasRelatedWork W2552388828 @default.
• W47572351 hasRelatedWork W2890406305 @default.
• W47572351 hasRelatedWork W2951492446 @default.
• W47572351 hasRelatedWork W2951832279 @default.
• W47572351 hasRelatedWork W3036308687 @default.
• W47572351 hasRelatedWork W3081121863 @default.
• W47572351 hasRelatedWork W3123432363 @default.
• W47572351 hasRelatedWork W3124596894 @default.
• W47572351 hasRelatedWork W3151197079 @default.
• W47572351 hasRelatedWork W37399209 @default.
• W47572351 hasRelatedWork W649341294 @default.
• W47572351 hasRelatedWork W70284004 @default.
• W47572351 hasRelatedWork W2484695643 @default.
• W47572351 isParatext "false" @default.
• W47572351 isRetracted "false" @default.
• W47572351 magId "47572351" @default.
• W47572351 workType "article" @default.