This study investigates the determinants of euro-dollar exchange rate since the inception of euro in January 1999. Initial results show that relative changes in consumer confidence in the USA and the Eurozone (CCI), relative consumer price index (CPI), unemployment rate (UMP), and money supply...

This paper examines time series properties of the swap spreads in three segments of the US dollar interest rate swaps market. Specifically, the relationship between the swap spreads in US dollar fixed-for-floating Interest Rate Swaps (IRS), Treasury bill versus LIBOR basis swaps and commercial...

This paper investigates the impact of major world equity markets on four founding countries of the South Asian Association for Regional Cooperation (SAARC). With a population of 1.47 billion, SAARC is the largest regional organization in the world. However, the issue of global integration of...

Different models of pricing currency call and put options on futures are empirically tested. Option prices are determined using different models and compared to actual market prices. Option prices are determined using historical as well as implied volatility. The different models tested include...

Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury...