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| An Asymptotic FX Option Formula in the Cross Currency Libor Market Model: Wilmott Magazine Article |
| Atsushi Kawai & Peter Jäckel |
517 Views |
In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion
technique introduced in Kawai [Kaw03].
We first apply the method to the lognormal LMM and lognormal FX model. Then, the method is applied to the displaced diffusion LMM and the displaced diffusion FX model. Some numerical examples show that the derived formulae are sufficiently accurate for practical applications.
[First published in issue 28 of Wilmott - March 2007] |
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| Addressing the Evolving Challenges of Impairment Accounting & Modelling - 29 May 2013, London - 10% Discount |
Addressing the Evolving Challenges of Impairment Accounting & Modelling
Responding to the Latest IASB Exposure Draft
29 May 2013, London
Website - Agenda
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Attend this comprehensive event and you will hear from:
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Gain practical insights into:
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View the full Impairment Accounting & Modelling Agenda here
Practical workshop:
Understanding and Implementing the NEW Impairment Standard
30 May 2013, London
Impairment under IFRS 9 will be applicable for amortised cost held financial assets and not for assets held at fair value through profit and loss. These changes will require an extensive preparation and implementation effort by all banks with amortised cost assets on their balance sheets.
- Replacement of IAS 39 - Incurred Loss Provisioning
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View the full workshop agenda
Register online, via email custserv@infoline.org.uk or call us on +44 (0)20 7017 7702.
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