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 [T. Bielecki and M. Rutkowski, SIAM J. Financial Math., 6 (2015), pp. 594--655] on funding and collateralization to a multicurrency framework and link their results with those of [V. Piterbarg, Risk, Aug. 2012, pp. 46--51], [N. Moreni and A. Pallavicini, Quant. Finance, 14 (2014), pp. …