A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
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- Erik Schlögl, 2002.
"A multicurrency extension of the lognormal interest rate Market Models,"
Finance and Stochastics,
Springer, vol. 6(2), pages 173-196.
- Erik Schlögl, 1999. "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series 20, Quantitative Finance Research Centre, University of Technology, Sydney.
- Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 31.
- Lech A. Grzelak & Cornelis W. Oosterlee, 2012.
"On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates,"
Applied Mathematical Finance,
Taylor & Francis Journals, pages 1-35.
- Grzelak, Lech & Oosterlee, Kees, 2010. "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper 23020, University Library of Munich, Germany.
- Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl, 1999.
"Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives,"
Discussion Paper Serie B
422, University of Bonn, Germany, revised Apr 1999.
- Antje Dudenhausen & Erik Schlögl & Lutz Schlögl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series 19, Quantitative Finance Research Centre, University of Technology, Sydney.
- A. Pelsser, 2003. "Mathematical foundation of convexity correction," Quantitative Finance, Taylor & Francis Journals, pages 59-65.
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Keywordsoption pricing and hedging; interest rate risk; exchange rate risk; change of numeraire;
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