Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples
14 Pages Posted: 10 Aug 2008
Date Written: May 1, 2003
We review multi-factor cross-currency LIBOR market models. We present a new method for the calibration of cross-currency market models to FX markets. We study the case of Power Reverse Dual Currency derivatives. We also present a new version of Least Square monte carlo method which makes handling of complex Bermudan callable structured derivatives much simpler.
Keywords: cross-currency LIBOR market models, PRDC, Bermudan callable derivatives, Least square monte carlo
JEL Classification: C15,G12,G13
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