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&rsquo / s
market model.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12611460/index.pdf |
| Date | 01 December 2009 |
| Creators | Temiz, Zeynep Canan |
| 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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