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A multicurrency extension of the lognormal interest rate Market Models |
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| Authors: | Erik Schlögl |
| Institution: | (1) School of Finance and Economics, University of Technology, Sydney, NSW 2007 Australia (e-mail: Erik.Schlogl@uts.edu.au) , AU |
| Abstract: | |
| Keywords: | : Lognormal LIBOR models term structure of interest rates currency options interest rate options change of measure |
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