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  • Search: subject:"FTD pricing with copula"
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FTD pricing with copula 1 FX devaluatiion risk 1 Jump models 1 Quanto FTD 1 calibration on FX options 1 hazard process approach 1 local currency 1 lognormal hazard process 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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EL-Mohammadi, Rachid 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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BSFTDWithMultiJump Model and Pricing of Quanto FTD with FX Devaluation Risk
EL-Mohammadi, Rachid - Volkswirtschaftliche Fakultät, … - 2009
We present a new model for pricing Quanto FTD where the FX could be strongly dependent to some or all credit names. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of first to default and where the jump size depends on credit name...
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