Currency total return swaps: valuation and risk factor analysis

DOI10.1080/14697688.2013.775475zbMATH Open1281.91157OpenAlexW3126013219MaRDI QIDQ5397446FDOQ5397446

Authors: Romain Cuchet, Pascal François, Georges Hübner 

Publication date: 20 February 2014

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

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.687.5524

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zbMATH Keywords

credit riskcredit derivativescurrency derivativesderivative instruments

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Credit risk (91G40)

Cites Work

• An equilibrium characterization of the term structure

Cited In (4)

• Total return swap valuation with counterparty risk and interest rate risk
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