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FX Rates and FX Derivatives

  • Srdjan Stojanovic
Chapter

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 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer Science+Business Media, LLC 2012

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of CincinnatiCincinnatiUSA

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