## Abstract This paper derives a generalβform formula for pricing and hedging differential swaps with the principal denominated either in a domestic, foreign, or thirdβcountry currency. We first derive the formula for differential swaps with the principal in a domestic currency and identify an erro
β¦ LIBER β¦
Swap pricing and hedging of general DCFs
β Scribed by Luciano, Elisa
- Book ID
- 110656900
- Publisher
- Springer
- Year
- 1998
- Weight
- 859 KB
- Volume
- 21
- Category
- Article
- ISSN
- 1127-1035
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