Scandinavian Working Papers in Business Administration

Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies

No 01-6: Cross-Currency LIBOR Market Models.

Peter Mikkelsen
Additional contact information
Peter Mikkelsen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark

Abstract: ==

Keywords: LIBOR market model; Cross-currency derivatives; Simulation based pricing

28 pages, May 21, 2001

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