Cross Currency Valuation and Hedging in the Multiple Curve Framework
Cross Currency Valuation and Hedging in the Multiple Curve Framework
We generalize the results of Bielecki and Rutkowski (2015) on funding and collateralization to a multi-currency framework and link their results with those of Piterbarg (2012), Moreni and Pallavicini (2017), and Fuji et al (2010).In doing this, we provide a complete study of absence of arbitrage in a multi-currency market …