Markets where asset prices follow processes with jumps are incomplete and any portfolio hedging against large movements in the price of the underlying asset must include other instruments. The standard approach in literature is to minimize the price variance of the hedging portfolio under a...

We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual...