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 indexed swaps, which are the most liquid ones
among inflation indexed instruments in the market, is given.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12612741/index.pdf |
| Date | 01 December 2010 |
| Creators | Karahan, Ceren |
| Contributors | Hayfavi, Azize |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.S. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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