Pricing inflation-indexed swaps and swaptions using an hjm model

Download

index.pdf

Date

2009

Author

Temiz, Zeynep Canan

Metadata

Show full item record

Item Usage Stats

242
views

89
downloads

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

Suggestions

OpenMETU
Core

Pricing inflation indexed swaps using an extended hjm framework with jump process Karahan, Ceren; Hayfavi, Azize; Department of Financial Mathematics (2010) Inflation indexed instruments are designed to help protect investors against the changes in the general level of prices. So, they are frequently preferred by investors and they have become increasingly developing part of the market. In this study, firstly, the HJM model and foreign currency analogy used to price of inflation indexed instruments are investigated. Then, the HJM model is extended with finite number of Poisson process. Finally, under the extended HJM model, a pricing derivation of inflation ind...
A market model for pricing inflation indexed bonds with jumps incorporation Güney, İbrahim Ethem; Hayfavi, Azize; Department of Financial Mathematics (2008) Protection against inflation is an essential part of the today's financial markets, particularly in high-inflation economies. Hence, nowadays inflation indexed instruments are being increasingly popular in the world financial markets. In this thesis, we focus on pricing of the inflation-indexed bonds which are the unique inflation-indexed instruments traded in the Turkish bond market. Firstly, we review the Jarrow-Yildirim model which deals with pricing of the inflation-indexed instruments within the HJM fr...
Static hedging strategies for barrier options and their robustness to model risk Kaya, Orçun; Hayfavi, Azize; Department of Financial Mathematics (2007) With the rapid increase in the usage of barrier options on the OTC markets, pricing and especially hedging of these exotic instruments became an important field of research. This paper aims to explain, apply and compare current methods used for pricing and hedging barrier options with a simulation approach. An overview of most popular methods for pricing and hedging is presented in the first part, followed by application of these pricing methods and comparing the performances of different dynamic and static...
The volatility spillover among a country’s foreign exchange, bond, and stock markets: a multivariate garch analysis Kubilay, Mustafa Murat; Danışoğlu, Seza; Department of Financial Mathematics (2012) The purpose of this study is to examine the volatility spillover among a country’s foreign exchange, bond and stock markets and the volatility transmission from the global bond, stock and commodity markets to these local financial markets. The sample for the study includes data from both emerging and developed economies in the time period between 2004 and 2011. A multivariate GARCH methodology with the BEKK representation is applied for the local financial markets and global variables are included as exogen...
Statistical methods in credit rating Sezgin, Özge; Yıldırak, Şahap Kasırga; Department of Financial Mathematics (2006) Credit risk is one of the major risks banks and financial institutions are faced with. With the New Basel Capital Accord, banks and financial institutions have the opportunity to improve their risk management process by using Internal Rating Based (IRB) approach. In this thesis, we focused on the internal credit rating process. First, a short overview of credit scoring techniques and validation techniques was given. By using real data set obtained from a Turkish bank about manufacturing firms, default predi...

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.