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Search: subject:"Cross-currency derivatives"
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Cross-currency derivatives
3
Cross-currency swaps
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Currency derivative
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Esscher transform
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Foreign forward caps and floors
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Chen, Jun-Home
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Eberlein, Ernst
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Koval, Nataliya
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Lian, Yu-Min
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Liao, Szu-Lang
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Mikkelsen, Peter
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Ehrvervøkonomisk Institut, Institut for Økonomi
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International review of economics & finance : IREF
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Quantitative Finance
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Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
International review of economics & finance : IREF
93
(
2024
)
2
,
pp. 503-519
Persistent link: https://www.econbiz.de/10014535585
Saved in:
2
A cross-currency Levy market model
Eberlein, Ernst
;
Koval, Nataliya
- In:
Quantitative Finance
6
(
2006
)
6
,
pp. 465-480
cross-currency
derivatives
. Foreign caps and floors and cross-currency swaps are studied in detail. Numerically efficient …
Persistent link: https://www.econbiz.de/10005462640
Saved in:
3
Cross-Currency LIBOR Market Models.
Mikkelsen, Peter
-
Ehrvervøkonomisk Institut, Institut for Økonomi
-
2001
==
Persistent link: https://www.econbiz.de/10005802124
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