Abstract
In this thesis, the value of a quanto-LIBOR-for-CMS-rate swap will be determined using suitable martingale measures and by replication of payments. Quanto LIBOR leg is exposed to both interest rate risk and exchange rate risk. Its pricing will be conducted in a multi-currency extension of LIBOR model while its replication involves carefully chosen units of domestic and foreign zero-coupon bonds of different maturities. Pricing of CMS leg requires forward swap measure and its link with risk neutral and T-forward measure will be discussed. Two replications of CMS leg using CMS caps and then payer swaptions will be derived and compared.