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A Multicurve Cross-Currency LIBOR Market Model
Joint Authors
Mbele Bidima, Martin Le Doux
Wamwea, Charity
Ngare, Philip
Source
Journal of Applied Mathematics
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-03-10
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
After the dawn of the August 2007 financial crisis, banks became more aware of financial risk leading to the appearance of nonnegligible spreads between LIBOR and OIS rates and also between LIBOR of different tenors.
This consequently led to the birth of multicurve models.
This study establishes a new model; the multicurve cross-currency LIBOR market model (MCCCLMM).
The model extends the initial LIBOR Market Model (LMM) from the single-curve cross-currency economy into the multicurve cross-currency economy.
The model incorporates both the risk-free OIS rates and the risky forward LIBOR rates of two different currencies.
The established model is suitable for pricing different quanto interest rate derivatives.
A brief illustration is given on the application of the MCCCLMM on pricing quanto caplets and quanto floorlets using a Black-like formula derived from the MCCCLMM.
American Psychological Association (APA)
Wamwea, Charity& Ngare, Philip& Mbele Bidima, Martin Le Doux. 2019. A Multicurve Cross-Currency LIBOR Market Model. Journal of Applied Mathematics،Vol. 2019, no. 2019, pp.1-17.
https://search.emarefa.net/detail/BIM-1168925
Modern Language Association (MLA)
Wamwea, Charity…[et al.]. A Multicurve Cross-Currency LIBOR Market Model. Journal of Applied Mathematics No. 2019 (2019), pp.1-17.
https://search.emarefa.net/detail/BIM-1168925
American Medical Association (AMA)
Wamwea, Charity& Ngare, Philip& Mbele Bidima, Martin Le Doux. A Multicurve Cross-Currency LIBOR Market Model. Journal of Applied Mathematics. 2019. Vol. 2019, no. 2019, pp.1-17.
https://search.emarefa.net/detail/BIM-1168925
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1168925