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Cross Currency LMM
Is there any literature on cross currency LMM, describing practical approach and calibration??Google does not seem to have a good article on this topic.Any lead will be appreciated..Thanks,BCK
Cross Currency LMM
you can find a section " pricing deriveatives in two interest rate curves" in brigo's book...maybe its helpful to you
Cross Currency LMM
"Engineering BGM" by Alan Brace has a chapter on "Cross Currency BGM" - Chapter 14. You can refer that as well.RegardsBhaskar
Cross Currency LMM
There are some references here: http://www.geocities.com/anan2999/