FX Rates and FX Derivatives

Srdjan Stojanovic ()
Additional contact information
Srdjan Stojanovic: University of Cincinnati, Department of Mathematics

Chapter Chapter 7 in Neutral and Indifference Portfolio Pricing, Hedging and Investing, 2012, pp 201-247 from Springer

Abstract: Abstract In this final chapter we introduce an elaborate framework for modeling foreign exchange rates (FXR), that, although more empirical work in this area is necessary, appears to be capable of capturing many features of the foreign currencies markets. The framework is based on the assumption that FXR market dynamics prevent arbitrage/imbalance between the investment opportunities in two countries/economies, and then by extension, among any number of them. While this principle is not new, we take it to the next level of scope and generality.

Keywords: Interest Rate; Foreign Market; Risky Asset; Terminal Condition; Foreign Currency (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-71418-9_7

Ordering information: This item can be ordered from
http://www.springer.com/9780387714189

DOI: 10.1007/978-0-387-71418-9_7

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().