A multicurrency extension of the lognormal interest rate market models
type: Item
instance of: scholarly article
title: A multicurrency extension of the lognormal interest rate market models
zbMATH Open document ID: 1002.91018
author: Erik Schlögl
published in: Finance and Stochastics
publication date: 2002-12-01T00:00:00Z
full work available at URL: http://hdl.handle.net/10453/3451
review text: The author considers the market models of the term structure of interest rates in the multicurrency case. The forward LIBOR or forward swap rates are assumed to be lognormal under the forward probability measure of the corresponding maturity. If the forward LIBOR or the forward swap rates in the two currencies cases are lognormal, then the forward exchange rate linking the two currencies can only be chosen to be lognormal for one maturity and for all other maturities the dynamics are given by no-arbitrage relationships. If forward interest rates of domestic currency and all forward exchange rates are given by lognormal dynamic, then dynamics of the foreign interest rates is determined by no-arbitrage relationships.
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1837542
zbMATH Keywords: lognormal LIBOR models
zbMATH Keywords: term structure of interest rate
zbMATH Keywords: carrency option
zbMATH Keywords: no-arbitrage relationship
reviewed by: Aleksandr D. Borisenko
MaRDI profile type: Publication
OpenAlex ID: W3123236830
DOI: 10.1007/S007800100054
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description: scientific article; zbMATH DE number 1837542