A cross-currency Lévy market model

DOI10.1080/14697680600818791zbMATH Open1134.91414OpenAlexW2035940485MaRDI QIDQ3437405FDOQ3437405

Authors: Ernst Eberlein, Nataliya Koval 

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22086

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zbMATH Keywords

cross-currency derivativescross-currency swapsforeign forward caps and floorsforward martingale measuremulti-currency modeltime-inhomogeneous Lévy processes

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Title not available (Why is that?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• LIBOR and swap market models and measures
• The Lévy LIBOR model
• The Market Model of Interest Rate Dynamics
• Lévy term structure models: no-arbitrage and completeness
• Term structure models driven by general Lévy processes
• A multicurrency extension of the lognormal interest rate market models
• A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates

Cited In (21)

• Inside the EMs risky spreads and CDS-sovereign bonds basis
• Analysis of Fourier transform valuation formulas and applications
• Old and new approaches to LIBOR modeling
• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
• A general HJM framework for multiple yield curve modelling
• A multicurve cross-currency LIBOR market model
• Lévy motion and the analysis of currency exchange rates
• Coherent foreign exchange market models
• Optimal foreign exchange rate intervention in Lévy markets
• The Lévy Swap Market Model
• The Lévy LIBOR model
• On cross-currency models with stochastic volatility and correlated interest rates
• Multivariate FX models with jumps: triangles, quantos and implied correlation
• Correlations in Lévy interest rate models
• A multiple-curve HJM model of interbank risk
• Approximate option pricing in the Lévy Libor model
• Multi-factor Lévy models for pricing financial and energy derivatives
• Coupling local currency Libor models to FX Libor models
• Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
• Pricing cross-currency interest rate swaps under the Lévy market model
• CBI-time-changed Lévy processes for multi-currency modeling

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