Estimating and Hedging Most Probable Extreme Changes in Multicurrency Term Structures

Mathieu Dieudonné; Jean-Christophe Curtillet

doi:10.3905/jfi.2005.591609

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Estimating and Hedging Most Probable Extreme Changes in Multicurrency Term Structures

Mathieu Dieudonné and Jean-Christophe Curtillet

The Journal of Fixed Income Fall 2005, 15 (2) 51-62; DOI: https://doi.org/10.3905/jfi.2005.591609

Mathieu Dieudonné

An associate director of Fixed Income Analysis at WestLB in Düsseldorf, Germany.

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For correspondence: mathieu.dieudonne@westlb.de

Jean-Christophe Curtillet

Executive director and head of Fixed Income Analysis at WestLB in Düsseldorf.

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For correspondence: jeanc.curtillet@westlb.de

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Estimating and Hedging Most Probable Extreme Changes in Multicurrency Term Structures

Mathieu Dieudonné, Jean-Christophe Curtillet

The Journal of Fixed Income Sep 2005, 15 (2) 51-62; DOI: 10.3905/jfi.2005.591609

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Estimating and Hedging Most Probable Extreme Changes in Multicurrency Term Structures

Mathieu Dieudonné, Jean-Christophe Curtillet

The Journal of Fixed Income Sep 2005, 15 (2) 51-62; DOI: 10.3905/jfi.2005.591609

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