A cross-currency Lévy market model

DOI10.1080/14697680600818791zbMath1134.91414OpenAlexW2035940485MaRDI QIDQ3437405

Nataliya Koval, Ernst Eberlein

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22086

zbMATH Keywords

time-inhomogeneous Lévy processescross-currency derivativescross-currency swapsforeign forward caps and floorsforward martingale measuremulti-currency model

Mathematics Subject Classification ID

Related Items (11)

A general HJM framework for multiple yield curve modelling ⋮ The Lévy Swap Market Model ⋮ Pricing cross-currency interest rate swaps under the Lévy market model ⋮ A multiple-curve HJM model of interbank risk ⋮ COHERENT FOREIGN EXCHANGE MARKET MODELS ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Multivariate FX models with jumps: triangles, quantos and implied correlation ⋮ Analysis of Fourier Transform Valuation Formulas and Applications ⋮ Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis ⋮ Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions ⋮ Correlations in Lévy interest rate models

Cites Work

• Unnamed Item
• LIBOR and swap market models and measures
• Lévy term structure models: no-arbitrage and completeness
• A multicurrency extension of the lognormal interest rate market models
• The Lévy LIBOR model
• Term Structure Models Driven by General Levy Processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates

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