Coupling local currency Libor models to FX Libor models

DOI10.1142/9789814436434_0012zbMATH Open1275.91141OpenAlexW2502796356MaRDI QIDQ2849684FDOQ2849684

Authors: John Schoenmakers 

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5c5532d4d6a8b65580d4897ee5695fe129ae2774

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Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (1)

• Design and Estimation of Multi-Currency Quadratic Models*

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