Pricing cross-currency interest rate swaps under the Lévy market model
DOI10.1007/S11147-018-9150-1zbMATH Open1415.91294OpenAlexW2895841607MaRDI QIDQ2423932FDOQ2423932
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
Recommendations
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Option Pricing With V. G. Martingale Components1
- Martingale methods in financial modelling.
- The Lévy LIBOR model
- Bond Market Structure in the Presence of Marked Point Processes
- The Term Structure of Simple Forward Rates with Jump Risk
- A cross-currency Lévy market model
- A Lévy HJM multiple-curve model with application to CVA computation
- LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
- Title not available (Why is that?)
- The Lévy Swap Market Model
Cited In (7)
- Lévy motion and the analysis of currency exchange rates
- The Lévy Swap Market Model
- Pricing equity swaps in an economy driven by geometric Itō-Levy processes
- Convexity bias in the pricing of Eurodollar swaps
- Derivative pricing with collateralization and FX market dislocations
- A cross-currency Lévy market model
- Title not available (Why is that?)
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