Anderson, Bing; Hammond, Peter J.; Ramezani, Cyrus A. - In: Journal of Financial and Quantitative Analysis 45 (2010) 05, pp. 1341-1365
This paper extends the affine class of term structure models to describe the joint dynamics of exchange rates and interest rates. In particular, the issue of how to reconcile the low volatility of interest rates with the high volatility of exchange rates is addressed. The incomplete market...
