Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
用HJM模型为美国通胀保值国债（TIPS）及相关衍生品定价，通过剥离实际和名义零息债券价格曲线，拟合三因子无套利模型，并用对冲表现验证模型有效性，最后为通胀指数看涨期权定价。
This paper uses an HJM model to price TIPS and related derivative securities. First, using the market prices of TIPS and ordinary U.S. Treasury securities, both the real and nominal zero-coupon bond price curves are obtained using standard coupon-bond price stripping procedures. Next, a three-factor arbitrage- free term structure model is fit to the time series evolutions of the CPI-U and the real and nominal zero- coupon bond price curves. Then, using these estimated term structure parameters, the validity of the HJM model for pricing TIPS is confumed via its hedging performance. Lastly, the usefulness of the pricing model is illustrated by valuing call options on the inflation index.