Term Structure of Profit Rates of Sukuk: MATLAB Stochastic Simulation
Adesina-Uthman Ganiyat
Jun 2015 · Cambridge Scholars Publishing
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About this ebook
This book explores several non-traditional and under-researched fields in Islamic finance through its investigations into how the newly-emergent financial instrument Sukuk behaves in the broader field of finite-period financing and pricing in the market place. It provides readers with didactic information on the fundamental theories of term structure and in-depth information on this nascent financial instrument in the Islamic capital market. The book employs one and two-factor models of term structure in order to analyse sovereign and corporate Sukuk bonds from the world’s leading Islamic economy, Malaysia. For the purposes of the study, the book establishes “profit rate yield curves” in the tradition of the conventional bond yield curve in order to define different risk classes of Sukuk. The dynamics of term structure of profit rates are captured with the inclusion of volatility as a factor in one of the models. The book provides informative case studies for interested students and researchers in the field of financial economics and mathematical finance. It also provides examples that will serve to simplify future research in term structure analysis and reduce its computational inefficiency.
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About the author
Dr Ganiyat Adejoke Adesina-Uthman received her PhD in Economics from University Putra Malaysia (UPM) in 2011, and her MSc in Finance from International Islamic University Malaysia (IIUM) in 2005. She is a Fellow of the Institute of Chartered Economists of Ghana and Nigeria (ICEG and ICEN), an Associate of the Chartered Institutes of Cost and Management Accountants (CICMA), a Senior Lecturer and Acting Head of the Department of Economics at National Open University of Nigeria (NOUN). Her research interests include term structure analysis, the liquidity and profitability of banks, Islamic economics and finance, corruption, poverty and sustainable development. Dr Ganiyat has also published articles in several well-known scholarly journals, such as Australian Journal of basic and applied Sciences, Ibadan Journal of the Social Sciences, the West African Journal of Open and Flexible Learning, the International Journal of Sustainable Development, and the Journal of Oriental and African Studies.
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