Search Results for author: Nicole Seiffert

Found 1 papers, 0 papers with code

Cross Currency Valuation and Hedging in the Multiple Curve Framework

no code implementations29 Jan 2020 Alessandro Gnoatto, Nicole Seiffert

We generalize the results of Bielecki and Rutkowski (2015) on funding and collateralization to a multi-currency framework and link their results with those of Piterbarg (2012), Moreni and Pallavicini (2017), and Fujii et al. (2010b).

Cannot find the paper you are looking for? You can Submit a new open access paper.