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[[tableofcontents]]TABLE OF CONTENTS Table of Contents ii Acknowledgement iii List of Tables iv Preface v Pricing and Hedging of Quanto Range Accrual Notes under Gaussian HJM with Cross- Currency Levy Processes Abstract 1 1. Introduction 2 2. The Model 7 2.1 The Setting 7 2.2 Tools for Changing Measures 11 3. Pricing 16 3.1 Digital Options 16 3.2 Valuation of Quanto Floating Range Accrual Notes 20 4. Hedging Quanto Floating Range Accrual Note 26 5. Numerical Analysis 30 6. Conclusion 33 7. Notes ...
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