Between September 6, 2011, and January 15, 2015, the Swiss National Bank (SNB) enforced a lower bound of 1.20 on the CHF/EUR exchange rate. In this paper, we view the SNB's commitment to this lower bound as a put option and use a latent likelihood estimation approach to infer (a) where the...

Since its announcement made on Sept. 6, 2011, the Swiss National Bank (SNB) has been pursuing the goal of a minimum EUR/CHF exchange rate of 1.20, promising to intervene on currency markets to prevent the exchange rate from falling below this level. We use a compound option pricing approach to...

Betting quotes provide valuable information on market-implied probabilities for outcomes of events like elections or referendums, which may have an impact on exchange rates. We generate exchange rate forecasts around such events based on a model that combines risk-neutral event probabilities...