Efficient pricing and Greeks in the cross-currency LIBOR market model Chris J. Beveridge, Mark S. Joshi and Will M. Wright The University of Melbourne October 14, 2010 - LIBOR market model - Document - PDFSEARCH.IO

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	Efficient pricing and Greeks in the cross-currency LIBOR market model Chris J. Beveridge, Mark S. Joshi and Will M. Wright The University of Melbourne October 14, 2010 Add to Reading List Document Date: 2013-08-05 02:12:15 Open Document File Size: 454,45 KB Share Result on Facebook Currency USD / / Facility Will M. Wright The University of Melbourne October / / IndustryTerm simplest solution / cross-currency exotic interest rate products / form solutions / notorious such product / complicated products / numerical solution / / Organization University of Melbourne / / Person Chris J. Beveridge / Deacon / Mark S. Joshi / / Position cross-currency LIBOR market model / risk manager / Hunter / domestic forward / model for the domestic currency / Cao / / Technology simulation / / SocialTag Interest rates Foreign exchange market Mathematical finance International finance Foreign-exchange option Forward exchange rate Hull–White model Power reverse dual currency note Exchange rate Economics

Efficient pricing and Greeks in the cross-currency LIBOR market model Chris J. Beveridge, Mark S. Joshi and Will M. Wright The University of Melbourne October 14, 2010Add to Reading List