Pricing inflation-indexed swaps and swaptions using an hjm model

Temiz, Zeynep Canan
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.
Citation Formats
Z. C. Temiz, “Pricing inflation-indexed swaps and swaptions using an hjm model,” M.S. - Master of Science, Middle East Technical University, 2009.