Chapter 16. Multi-Currency Terminal Swap-Rate Models

  1. P. J. Hunt1 and
  2. J. E. Kennedy2

Published Online: 28 JAN 2005

DOI: 10.1002/0470863617.ch16

Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice

How to Cite

Hunt, P. J. and Kennedy, J. E. (2004) Multi-Currency Terminal Swap-Rate Models, in Financial Derivatives in Theory and Practice, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470863617.ch16

Author Information

  1. 1

    WestLB AG, London, UK

  2. 2

    University of Warwick, UK

Publication History

  1. Published Online: 28 JAN 2005
  2. Published Print: 26 MAY 2004

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470863589

Online ISBN: 9780470863619

SEARCH

Keywords:

  • multi-currency model;
  • multi-currency terminal swap-rate models;
  • cross-currency swaption

Summary

This chapter contains sections titled:

  • Introduction

  • Model Construction

  • Examples