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• W3123236830 abstract "The Market Models of the term structure of interest rates, in which forward LIBOR or forward swap rates are modelled to be lognormal under the forward probability measure of the corresponding maturity, are extended to a multicurrency setting. If lognormal dynamics are assumed for forward LIBOR or forward swap rates in two currencies, the forward exchange rate linking the two currencies can only be chosen to be lognormal for one maturity, with the dynamics for all other maturities given by no–arbitrage relationships. Alternatively, one could choose forward interest rates in only one currency, say the domestic, to be lognormal and postulate lognormal dynamics for all forward exchange rates, with the dynamics of foreign interest rates determined by no-arbitrage relationships." @default.
• W3123236830 created "2021-02-01" @default.
• W3123236830 creator A5063675319 @default.
• W3123236830 date "2002-04-01" @default.
• W3123236830 modified "2023-10-06" @default.
• W3123236830 title "A multicurrency extension of the lognormal interest rate Market Models" @default.
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• W3123236830 doi "https://doi.org/10.1007/s007800100054" @default.
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