Pricing cross-currency interest rate swaps under the Lévy market model

DOI10.1007/S11147-018-9150-1zbMath1415.91294OpenAlexW2895841607MaRDI QIDQ2423932

Li-Jhang Huang, Ming-Chieh Wang

Publication date: 21 June 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-018-9150-1

zbMATH Keywords

Lévy marketinterest rate swaparbitrage-free pricing modelcross-currency

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
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• Option Pricing With V. G. Martingale Components¹
• Bond Market Structure in the Presence of Marked Point Processes
• A Lévy HJM multiple-curve model with application to CVA computation
• The Term Structure of Simple Forward Rates with Jump Risk
• The Lévy Swap Market Model

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