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2001 | OriginalPaper | Chapter

Pricing Derivatives on Two Interest-Rate Curves

Authors : Damiano Brigo, Fabio Mercurio

Published in: Interest Rate Models Theory and Practice

Publisher: Springer Berlin Heidelberg

Included in: Professional Book Archive

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In this chapter, we explain how one can model both a first (domestic) and a second (foreign) interest-rate curve, each by a two-factor additive Gaussian short-rate model, in order to Monte Carlo price a quanto constant-maturity swap and similar contracts, which we will present in the following sections.

previous chapter Pricing Derivatives on a Single Interest-Rate Curve
next chapter Pricing Equity Derivatives under Stochastic Rates
Metadata
Title
Pricing Derivatives on Two Interest-Rate Curves
Authors
Damiano Brigo
Fabio Mercurio
Copyright Year
2001
Publisher
Springer Berlin Heidelberg
Book
Interest Rate Models Theory and Practice

Print ISBN: 978-3-662-04555-8

Electronic ISBN: 978-3-662-04553-4

Copyright Year: 2001

DOI
https://doi.org/10.1007/978-3-662-04553-4_11