The profitability of interest arbitrage when the base currency is pegged to a basket

Imad Moosa ()

Review of Quantitative Finance and Accounting, 2011, vol. 37, issue 3, 267-281

Keywords: Currency baskets; Interest arbitrage; Monte Carlo simulations; F31 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s11156-010-0204-1

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