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Author: Bernard Dumas Publisher: ISBN: Category : Currency convertibility Languages : en Pages : 56
Book Description
This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment size. The realignment mechanism is such that (except in cases where a speculative attack occurs) no jump in fundamental is needed to accompany the jump in the exchange rate. A risk neutral valuation of currency options is constructed. Some properties of option values under realignment risk are illustrated by numerical results.
Author: Bernard Dumas Publisher: ISBN: Category : Currency convertibility Languages : en Pages : 56
Book Description
This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment size. The realignment mechanism is such that (except in cases where a speculative attack occurs) no jump in fundamental is needed to accompany the jump in the exchange rate. A risk neutral valuation of currency options is constructed. Some properties of option values under realignment risk are illustrated by numerical results.
Author: Zhaohui Chen Publisher: World Scientific ISBN: 9814499161 Category : Business & Economics Languages : en Pages : 218
Book Description
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.
Author: Bernard Dumas Publisher: ISBN: Category : Currency convertibility Languages : en Pages : 32
Book Description
This paper develops a model for valuing options on a currency which is maintained within a band. The starting point of our model is the well known Krugman model for exchange-rate behavior within a target zone. Results from model runs provide insight into evidence reported by other authors of mispricing of currency options by extensions of the Black-Scholes model.
Author: International Monetary Fund. Research Dept. Publisher: International Monetary Fund ISBN: 145197339X Category : Business & Economics Languages : en Pages : 280
Book Description
This paper analyzes long-term exchange rate modeling. The paper reviews the literature that tests for a unit root in real exchange rates and the closely related work on testing for a unit root in the residual from a regression of the nominal exchange rate on relative prices. It argues that the balance of evidence is supportive of the existence of some form of long-term exchange rate relationship. The paper highlights that the form of this relationship, however, does not accord exactly with a traditional representation of the long-term exchange rate.
Author: Terence Lim Publisher: Now Publishers Inc ISBN: 1933019212 Category : Business & Economics Languages : en Pages : 225
Book Description
The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.
Author: William C. Gruben Publisher: Springer Science & Business Media ISBN: 1461561752 Category : Business & Economics Languages : en Pages : 247
Book Description
The dramatic growth of international capital flow has provided unprecedented opportunities and risks in emerging markets. This book is the result of a conference exploring this phenomenon, sponsored by the Federal Reserve Bank of Dallas. The issues explored include direct versus portfolio investment; exchange rates and economic growth; and optimal exchange rate policy for stabilizing inflation in developing countries. It concludes with a panel discussion on central bank coordination in the midst of exchange rate instability.
Author: Claus Munk Publisher: Oxford University Press ISBN: 0199575088 Category : Business & Economics Languages : en Pages : 573
Book Description
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
Author: Mr.Michael G. Spencer Publisher: International Monetary Fund ISBN: 1451857004 Category : Business & Economics Languages : en Pages : 40
Book Description
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Author: Bernard Dumas
Author: Bernard Dumas
Author: Zhaohui Chen
Author: Bernard Dumas
Author: International Monetary Fund. Research Dept.
Author: Terence Lim
Author: Allan M. Malz
Author: William C. Gruben
Author: Claus Munk
Author: Mr.Michael G. Spencer
Author: Alejandro Hernández D.