A cross-currency Lévy market model (Q3437405)
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scientific article; zbMATH DE number 5150699
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A cross-currency Lévy market model |
scientific article; zbMATH DE number 5150699 |
Statements
A cross-currency Lévy market model (English)
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9 May 2007
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multi-currency model
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cross-currency derivatives
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foreign forward caps and floors
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cross-currency swaps
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time-inhomogeneous Lévy processes
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forward martingale measure
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0.882503867149353
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0.8449918627738953
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0.8174138069152832
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0.806943953037262
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0.8031217455863953
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