Cross-Currency LIBOR Market Models

Peter Mikkelsen
Additional contact information
Peter Mikkelsen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark

No 01-6, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: ==

Keywords: LIBOR market model; Cross-currency derivatives; Simulation based pricing (search for similar items in EconPapers)
Pages: 28 pages
Date: 2001-05-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.hha.dk/fin/finance/Research/D01_6.PDF (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.hha.dk:80 (nodename nor servname provided, or not known)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhb:aarfin:2001_006

Access Statistics for this paper

More papers in Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Helle Vinbaek Stenholt ( this e-mail address is bad, please contact ).