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

DOI10.1007/S11147-018-9150-1MaRDI QIDQ2423932zbMATH OpenOpenAlexFDO

Authors Ming-Chieh Wang, Li-Jhang Huang

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

interest rate swaparbitrage-free pricing modelcross-currencyLévy market

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1505639 (Why is no real title available?)
• A Lévy HJM multiple-curve model with application to CVA computation
• A cross-currency Lévy market model
• Bond Market Structure in the Presence of Marked Point Processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Martingale methods in financial modelling.
• Option Pricing With V. G. Martingale Components¹
• The Lévy LIBOR model
• The Lévy Swap Market Model
• The Term Structure of Simple Forward Rates with Jump Risk

Cited in

(7)

• Pricing equity swaps in an economy driven by geometric Itō-Levy processes
• Derivative pricing with collateralization and FX market dislocations
• Lévy motion and the analysis of currency exchange rates
• Convexity bias in the pricing of Eurodollar swaps
• A cross-currency Lévy market model
• The Lévy Swap Market Model
• scientific article; zbMATH DE number 1222806 (Why is no real title available?)

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