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Wolfgang Benner

University of Göttingen - Institute of Finance and Banking

Platz der Goettinger Sieben 5

Goettingen, D-37073

Germany

  • University of Göttingen - Institute of Finance and Banking

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A Multi-Factor Cross-Currency LIBOR Market Model

The Journal of Derivatives, Vol. 16, No. 4, Summer 2009
Posted: 26 Mar 2007 Last Revised: 09 Jun 2009
Wolfgang Benner, Lyudmil Zyapkov and Stephan Jortzik
University of Göttingen - Institute of Finance and Banking, Bank of America and Fitch Ratings Inc.

Abstract:

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Cross-currency LIBOR Market Model, term structure of interest rates, foreign exchange rate, FX options, forward measure