Pricing inflation-linked derivatives using the Jarrow-Yildirim model

Master Thesis

2009

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http://hdl.handle.net/11427/4929
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thesis_sci_2009_selamolela_s_i.pdf (5.22 MB)
Authors
Selamolela, Selebelo I
Supervisors
Becker, Ronald
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University of Cape Town

Department
Department of Mathematics and Applied Mathematics
Faculty
Faculty of Science
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Abstract
In this thesis we price inflation linked swaps, Caplet, Floorlet and Option on real zero coupon bond on foreign-currency analogy, as Hughston (1998) [20]. The nominal assets are thought of as domestic assets, real assets as foreign assets and the consumer price index is interpreted as the exchange rate between the nominal and real assets. We price the inflation linked derivatives using Jarrow and Yildirim (2003) [23] three factor HJM model. We assume that volatilities of all asset price, including consumer price index, are deterministic.
Description

Includes bibliographical references (leaves 117-119).

Keywords
Mathematics and Applied Mathematics

Reference:

Selamolela, S. 2009. Pricing inflation-linked derivatives using the Jarrow-Yildirim model. University of Cape Town.

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