"Cross Currency Valuation and Hedging in the Multiple Curve Framework."

Alessandro Gnoatto, Nicole Seiffert (2021)

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DOI: 10.1137/20M1324375

access: closed

type: Journal Article

metadata version: 2021-11-03

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Alessandro Gnoatto, Nicole Seiffert:
Cross Currency Valuation and Hedging in the Multiple Curve Framework. SIAM J. Financial Math. 12(3): 967-1012 (2021)

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