A cross-currency Lévy market model

DOI10.1080/14697680600818791MaRDI QIDQ3437405zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• 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
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• LIBOR and swap market models and measures
• Lévy term structure models: no-arbitrage and completeness
• Term structure models driven by general Lévy processes
• The Lévy LIBOR model
• The Market Model of Interest Rate Dynamics

Cited in

(21)

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

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