Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples

14 Pages Posted: 10 Aug 2008

See all articles by Ahsan Amin

Ahsan Amin

Infiniti Derivatives Technologies

Date Written: May 1, 2003

Abstract

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

Suggested Citation

Amin, Ahsan, Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples (May 1, 2003). Available at SSRN: https://ssrn.com/abstract=1214042 or http://dx.doi.org/10.2139/ssrn.1214042

Ahsan Amin (Contact Author)

Infiniti Derivatives Technologies ( email )

Pakistan

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