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q-fin.PR2023
Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
Alessandro Gnoatto, Silvia Lavagnini
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any cu…
q-fin.PR2021
Pricing Asian Options with Correlators
Silvia Lavagnini
We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This series requires the computation of moments and correlators of the underlying p…