Enflasyona endeksli tahvillerin ve gömülü deflasyon koruma opsiyonlarının fiyatlanması: Türk tahvil piyasasi üzerine analiz
Bibliographic record
Abstract
Fixed income securities are financial contracts that provide a stream of cash flows to the investors. Such cash flows are exposed to inflation risk. From the perspective of the lender, the purchasing power of provided cash flows might be subject to erosion in inflationary pressures. Inflation indexed bonds issued in a way that to hedge this risk and provide real return to the bond holder. UK issued first inflation indexed bonds as sovereign in 1981. Then, developed countries such as US, Canada, France, Germany, and emerging market countries such as Turkey, Brazil, Mexico had high interest in issuing these bonds. The principal and coupon payments of these bonds are linked to the changes in the reference price index. Inflation indexed bonds might be issued as plain, which excludes any protection against deflation. On the other hand, bonds might be issued with deflation protection (put) option embedded since bond cash flows will be less than the nominal value in a deflationary economic environment. Deflation protection might cover only principal value as in TIPS issued by US or both principal and coupon payments as inflation indexed bonds issued by Turkish Treasury. This thesis aims to price deflation protection option premium in Turkish bond market by decomposing bond structure into plain and option components. First, we review the Jarrow-Yildirim model under the HJM framework and the analytical formulas for derivative prices available in that model. Then, we use historical bond market data to estimate model parameters and the price of the embedded deflation protection option. Finally, we examine historical course of this premium for bonds with different characteristics and inflation expectations.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.002 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.003 | 0.002 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.012 | 0.002 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".