European Business Schools Librarian's Group
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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