CUTTING EDGE Cross-currency exatics - Smiling hybrids - The author develops a multi-currenrcy model with foreign exchange skew suitable for valuation and risk management of forex-linked hybrids, in particular PRDC swaps. The emphasis is on model calibration to forex options across different maturities and strikes.
| Year of publication: |
2006
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|---|---|
| Authors: | Piterbarg, Vladimir |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 5, p. 66-75
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