Primer: The FST Theorem for Pricing with Foreign Collateral

Alan Brace
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Alan Brace: National Australia Bank

No 331, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: The Fujii Shimada Takahashi theorem for pricing derivatives collateralized in a foreign currency is reviewed.

Pages: 7 pages
Date: 2013-05-01
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