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

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

Peter Mikkelsen

Abstract: ==

Keywords: LIBOR market model; Cross-currency derivatives; Simulation based pricing; (follow links to similar papers)

28 pages, May 21, 2001

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