{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,18]],"date-time":"2026-03-18T18:48:59Z","timestamp":1773859739807,"version":"3.50.1"},"reference-count":28,"publisher":"Wiley","license":[{"start":{"date-parts":[[2019,3,10]],"date-time":"2019-03-10T00:00:00Z","timestamp":1552176000000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Pan African University Institute of Basic and Applied Sciences Scholarship"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics"],"published-print":{"date-parts":[[2019,3,10]]},"abstract":"<jats:p>After the dawn of the August 2007 financial crisis, banks became more aware of financial risk leading to the appearance of nonnegligible spreads between LIBOR and OIS rates and also between LIBOR of different tenors. This consequently led to the birth of multicurve models. This study establishes a new model; the multicurve cross-currency LIBOR market model (MCCCLMM). The model extends the initial LIBOR Market Model (LMM) from the single-curve cross-currency economy into the multicurve cross-currency economy. The model incorporates both the risk-free OIS rates and the risky forward LIBOR rates of two different currencies. The established model is suitable for pricing different quanto interest rate derivatives. A brief illustration is given on the application of the MCCCLMM on pricing quanto caplets and quanto floorlets using a Black-like formula derived from the MCCCLMM.<\/jats:p>","DOI":"10.1155\/2019\/8246578","type":"journal-article","created":{"date-parts":[[2019,3,10]],"date-time":"2019-03-10T19:31:57Z","timestamp":1552246317000},"page":"1-17","source":"Crossref","is-referenced-by-count":1,"title":["A Multicurve Cross-Currency LIBOR Market Model"],"prefix":"10.1155","volume":"2019","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0099-5832","authenticated-orcid":true,"given":"Charity","family":"Wamwea","sequence":"first","affiliation":[{"name":"Department of Statistics and Actuarial Sciences, Jomo Kenyatta University of Agriculture and Technology, Kenya"}]},{"given":"Philip","family":"Ngare","sequence":"additional","affiliation":[{"name":"School of Mathematics, The University of Nairobi, Kenya"}]},{"given":"Martin Le Doux","family":"Mbele Bidima","sequence":"additional","affiliation":[{"name":"Department of Mathematics, University of Yaound\u00e9 I, Cameroon"}]}],"member":"311","reference":[{"key":"10","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2016.04.002"},{"key":"1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2219548"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.1783070"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1007\/s11579-012-0083-4"},{"key":"9","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-016-0291-5"},{"key":"13","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1108521"},{"key":"14","doi-asserted-by":"publisher","DOI":"10.1137\/15M1011731"},{"key":"25","year":"2009","journal-title":"SSRN Electronic Journal"},{"key":"26","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.1563685"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2817816"},{"key":"27","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2987832"},{"key":"16","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.970509"},{"key":"29","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405x(77)90016-2"},{"key":"7","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"19","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"15","doi-asserted-by":"publisher","DOI":"10.2307\/2951677"},{"key":"6","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00028"},{"key":"22","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050026"},{"issue":"4","key":"2","doi-asserted-by":"crossref","first-page":"53","DOI":"10.3905\/JOD.2009.16.4.053","volume":"16","year":"2009","journal-title":"The Journal of Derivatives"},{"key":"18","doi-asserted-by":"publisher","DOI":"10.18488\/journal.aefr\/2015.5.5\/102.5.816.830"},{"key":"23","doi-asserted-by":"publisher","DOI":"10.1080\/14697680802624963"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1093\/0199271267.001.0001"},{"key":"20","volume-title":"Usd libor history","year":"2018"},{"key":"21","volume-title":"Usd libor history","year":"2018"},{"key":"11","volume-title":"Gbp\/usd - british pound us dollar","year":"2018"},{"key":"24","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-12616-5"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.12988\/ams.2018.8468"},{"key":"28","doi-asserted-by":"publisher","DOI":"10.14453\/aabfj.v10i2.3"}],"container-title":["Journal of Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2019\/8246578.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2019\/8246578.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2019\/8246578.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,3,10]],"date-time":"2019-03-10T19:31:59Z","timestamp":1552246319000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/jam\/2019\/8246578\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019,3,10]]},"references-count":28,"alternative-id":["8246578","8246578"],"URL":"https:\/\/doi.org\/10.1155\/2019\/8246578","relation":{},"ISSN":["1110-757X","1687-0042"],"issn-type":[{"value":"1110-757X","type":"print"},{"value":"1687-0042","type":"electronic"}],"subject":[],"published":{"date-parts":[[2019,3,10]]}}}