The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach

S. Aspandilarov and Jean-Marc Bottazzi

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: We develop here a framework of cross currency arbitrage in the presence of a currency peg. In particular the relationship between interest rate and FX derivatives is analysed in such a framework.

Keywords: INTEREST RATE; PRODUCTS; PRICES (search for similar items in EconPapers)
JEL-codes: G10 G12 G13 (search for similar items in EconPapers)
Pages: 11 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:1999.80

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