Arbitrage Free Affine Models Of The Forward Price Of Foreign Currency
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Arbitrage Free Affine Models Of The Forward Price Of Foreign Currency
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Author : J. Benson Durham
language : en
Publisher:
Release Date : 2014
Arbitrage Free Affine Models Of The Forward Price Of Foreign Currency written by J. Benson Durham and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model calibration to forward term structures of eleven U.S.-dollar currency pairs from the mid-to-late 1990s through early 2014 fits the data closely and suggests that the premium is indeed nonzero and variable, but not to the degree implied by previous econometric studies.
Affine Models Of Currency Pricing
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Author : David Backus
language : en
Publisher:
Release Date : 1996
Affine Models Of Currency Pricing written by David Backus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Foreign exchange rates categories.
Perhaps the most puzzling feature of currency prices is the tendency for high interest rate currencies to appreciate, when the expectations hypothesis suggests the reverse. Some have attributed this forward premium anomaly to a time-varying risk premium, but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the anomaly. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that we abandon the common requirement that interest rates be strictly positive.
An Arbitrage Free Nelson Siegel Term Structure Model With Stochastic Volatility For The Determination Of Currency Risk Premia
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Author : Sarah Mouabbi
language : en
Publisher:
Release Date : 2014
An Arbitrage Free Nelson Siegel Term Structure Model With Stochastic Volatility For The Determination Of Currency Risk Premia written by Sarah Mouabbi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
The Theory Of Forward Exchange
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Author : Egon Sohmen
language : en
Publisher:
Release Date : 1966
The Theory Of Forward Exchange written by Egon Sohmen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1966 with Business & Economics categories.
The Forward Market In Foreign Exchange
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Author : Brendan Brown
language : en
Publisher: Routledge
Release Date : 2017-04-21
The Forward Market In Foreign Exchange written by Brendan Brown and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-21 with Business & Economics categories.
Originally published in 1983. With the prevailing uncertainties and wild fluctuation in exchange values at the time, the forward market in foreign exchange had become a vital issue for both governments and business corporations. This book by an expert practitioner in foreign exchange dealing describes how the forward market functions and analyses the constituent elements in its behaviour. The two principal types of foreign exchange deal are examined; forward outright and swap, and explanations are given of how both operate. The linkage between forward rates and interest rates is also considered and the book investigates what factors cause deviation from parity conditions. In addition, there is a discussion of political risk and the forward contract and the role of speculation in forward exchange as well as the methods of hedging.
Affine Models Of Currency Pricing
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Author : Backus David
language : en
Publisher:
Release Date : 2009
Affine Models Of Currency Pricing written by Backus David and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Perhaps the most puzzling feature of currency prices is the tendency for high interest rate currencies to appreciate when the expectations hypothesis suggests the reverse. Some have attributed this forward premium anomaly to a time-varying risk premium but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the anomaly. In affine models the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that we abandon the common requirement that interest rates be strictly positive.
Currency Options And Exchange Rate Economics
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Author : Zhaohui Chen
language : en
Publisher: World Scientific
Release Date : 1998-04-21
Currency Options And Exchange Rate Economics written by Zhaohui Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-04-21 with Business & Economics categories.
This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets.The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
New Methods In Fixed Income Modeling
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Author : Mehdi Mili
language : en
Publisher: Springer
Release Date : 2018-08-18
New Methods In Fixed Income Modeling written by Mehdi Mili and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-18 with Business & Economics categories.
This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.
Models Of Interest Rate Parity Theory And Modern Forward Exchange Theory In The U S Canadian Foreign Exchange Market
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Author : Jonathan R. Kesselman
language : en
Publisher:
Release Date : 1968
Models Of Interest Rate Parity Theory And Modern Forward Exchange Theory In The U S Canadian Foreign Exchange Market written by Jonathan R. Kesselman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1968 with Foreign exchange futures categories.
Yield Curves And Forward Curves For Diffusion Models Of Short Rates
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Author : Gennady A. Medvedev
language : en
Publisher: Springer
Release Date : 2019-05-18
Yield Curves And Forward Curves For Diffusion Models Of Short Rates written by Gennady A. Medvedev and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-18 with Mathematics categories.
This book is dedicated to the study of the term structures of the yields of zero-coupon bonds. The methods it describes differ from those usually found in the literature in that the time variable is not the term to maturity but the interest rate duration, or another convenient non-linear transformation of terms. This makes it possible to consider yield curves not only for a limited interval of term values, but also for the entire positive semiaxis of terms. The main focus is the comparative analysis of yield curves and forward curves and the analytical study of their features. Generalizations of yield term structures are studied where the dimension of the state space of the financial market is increased. In cases where the analytical approach is too cumbersome, or impossible, numerical techniques are used. This book will be of interest to financial analysts, financial market researchers, graduate students and PhD students.