Pricing inflation-indexed swaps and swaptions using an hjm model

Date

2009

Author

Temiz, Zeynep Canan

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Inflation-indexed instruments provide a real return and protect investors from the erosion of the purchasing power of money. Hence, inflation-indexed markets grow very fast day by day. In this thesis, we focus on pricing of the inflation-indexed swaps and swaptions which are the most liquid derivative products traded in the inflation-indexed markets. Firstly, we review the Hull-White extended Vasicek model in the HJM framework. Then, we use this model to price inflation-indexed swaps. Also, pricing of inflation-indexed swaptions is given using Black’s market model.

Subject Keywords

Finance., Swaptions.

URI

http://etd.lib.metu.edu.tr/upload/12611460/index.pdf
https://hdl.handle.net/11511/19183

Collections

Graduate School of Applied Mathematics, Thesis