Article2006

A cross-currency Lévy market model

25 citations0/0 files storedQuantitative Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

The Lévy Libor or market model which was introduced in Eberlein and Özkan (The Lévy Libor model. Financ. Stochast., 2005, 9, 327–348) is extended to a multi-currency setting. As an application we derive closed form pricing formulas for cross-currency derivatives. Foreign caps and floors and cross-currency swaps are studied in detail. Numerically efficient pricing algorithms based on bilateral Laplace transforms are derived. A calibration example is given for a two-currency setting (EUR, USD).

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 25 citations exist upstream.

References

2005Stochastic Integration and Differential Equations 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1987Limit Theorems for Stochastic Processes 1990Stochastic Integration and Differential Equations 1997The Market Model of Interest Rate Dynamics 2001Interest Rate Models Theory and Practice 1997Martingale Methods in Financial Modelling 1997LIBOR and swap market models and measures

Cited by

2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.