Pricing inflation indexed swaps using an extended hjm framework with jump process


Thesis Type: Post Graduate

Institution Of The Thesis: Middle East Technical University, Turkey

Approval Date: 2010

Thesis Language: English

Student: Ceren Karahan

Consultant: AZİZE HAYFAVİ

Abstract:

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.