Enflasyona endeksli swap ve swap üzerine yazılan opsiyonların hjm modeli kullanılarak fiyatlandırılması.

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Türkiye

Tezin Onay Tarihi: 2009

Tezin Dili: İngilizce

Öğrenci: Zeynep Canan Temiz

Danışman: AZİZE HAYFAVİ

Özet:

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.