کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7375674 | 1480074 | 2018 | 33 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bonds with index-linked stochastic coupons in quantum finance
ترجمه فارسی عنوان
اوراق قرضه با کوپن های تصادفی وابسته به شاخص در امور مالی کوانتومی
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
An index-linked coupon bond is defined that pays coupons whose values are stochastic, depending on a market defined index. This is an asset class distinct from the existing coupon bonds. The index-linked coupon bond is an example of a sukuk, which is an instrument that implements one of the cornerstones of Islamic finance (Askari et al., 2012): that an investor must share in the risk of the issuer in order to earn profits from the investment. The index-linked coupon bond is defined using the mathematical framework of quantum finance (Baaquie, 2004, 2010). The coupons are stochastic, with the quantum of coupon payments depending on a publicly traded index that is chosen to reflect the primary drivers of the revenues of the issuer of the bond. The index ensures there is information symmetry - regarding the quantum of coupon being paid - between issuer and investor. The dependence of the coupon on the index is designed so that the variation of the index mirrors the changing fortunes of the issuer, with the coupon's quantum increasing for increasing values of the index and conversely, decreasing with a fall of the index.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 499, 1 June 2018, Pages 148-169
Journal: Physica A: Statistical Mechanics and its Applications - Volume 499, 1 June 2018, Pages 148-169
نویسندگان
Belal Ehsan Baaquie,