|
Amin, K. and Jarrow, R. (1991), ‘Pricing foreign currency options under stochastic interest
rates’, Journal of International Money and Finance 10(3), 310–329.
Bennett, M. N. . and Kennedy, J. E. . (2004), ‘Quanto pricing with copulas’, The Journal of
Derivatives 12(1), 26–45.
Bielecki, T. R. and Rutkowski, M. (2002), Credit risk: modeling, valuation and hedging,
Springer.
Brace, A., Gmatarek, D. and Musiela, M. (1997), ‘The market model of interest rate dynamics’,
Mathematical Finance 7(2), 127–155.
Brigo, D. and Mercurio, F. (2007), Interest Rate Models - Theory and Practice With Smile,
Inflation and Credit, Springer finance, Springer-Verlag Berlin Heidelberg.
Eberlein, E. and Koval, N. (2006), ‘A cross-currency levy market model’, Quantitative Finance
6(6), 465–480.
Flavell, R. R. (2011), Swaps and other derivatives, John Wiley &; Sons.
Geman, H., El Karoui, N. and Rochet, J. (1995), ‘Changes of numeraire, changes of probability
measure and option pricing’, Journal of applied Probability 32(2), 443–458.
Heath, D., Jarrow, R. and Morton, A. (1992), ‘Bond pricing and the term structure of interest
rates: A new methodology for contingent claims valuation’, Econometrica 60(1), 77–105.
Hull, J. and White, A. (2000), ‘Valuing Credit Default Swaps I: No Counterparty Default Risk’,
The Journal of Derivatives 8(1), 29–40.
Hull, J. and White, A. (2003), ‘The valuation of credit default swap options’, Journal of Derivatives
10, 40–50.
Jamshidian, F. (1997), ‘Libor and swap market models and measures’, Finance and Stochastics
1(4), 293–330.
Jamshidian, F. (2004), ‘Valuation of credit default swaps and swaptions’, Finance and Stochastics
8(3), 343–371.
Lando, D. (1998), ‘On Cox Processes and Credit Risky Securities’, Review of Derivatives Research
2(2/3), 99–120.
Li, D., Moshirian, F., Wee, T. and Wu, E. (2009), ‘Foreign exchange exposure: Evidence
from the us insurance industry’, Journal of International Financial Markets, Institutions and
Money 19(2), 306–320.
Musiela, M. and Rutkowski, M. (2006), Martingale methods in financial modelling, Springer-
Verlag Berlin Heidelberg.
Schönbucher, P. (2000), ‘A libor market model with default risk’, Available at SSRN 261051 .
Yong, H. H. A., Faff, R. and Chalmers, K. (2009), ‘Derivative activities and asia-pacific banks’
interest rate and exchange rate exposures’, Journal of international financial markets, institutions
and money 19(1), 16–32.
|