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Pricing Inflation-indexed Swaps And Swaptions Using An Hjm Model

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.

Identiferoai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12611460/index.pdf
Date01 December 2009
CreatorsTemiz, Zeynep Canan
ContributorsHayfavi, Azize
PublisherMETU
Source SetsMiddle East Technical Univ.
LanguageEnglish
Detected LanguageEnglish
TypeM.S. Thesis
Formattext/pdf
RightsTo liberate the content for public access

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