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Optimal Stochastic Intervention Control with Application to the Exchange Rate
Mundaca, Gabriela - 2010
We formulate a mathematical model for the optimal control of the exchange rate. The control consists of a stochastic control, and an impulse control. We give general sufficient conditions for its solution. We consider a government that has two means of avoiding the foreign exchange rate...
Persistent link: https://www.econbiz.de/10013148104
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Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
Wu, Jinbiao - In: Mathematical methods of operations research 89 (2019) 2, pp. 257-280
Persistent link: https://www.econbiz.de/10012010370
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Classical and restricted impulse control for the exchange rate under a stochastic trend model
Runggaldier, Wolfgang J.; Yasuda, Kazuhiro - In: Journal of economic dynamics & control 91 (2018), pp. 369-390
Persistent link: https://www.econbiz.de/10011974210
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Martingale property of exchange rates and central bank interventions
Yılmaz, Kamil - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 3, pp. 383-395
Persistent link: https://www.econbiz.de/10001785814
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Martingale Property of Exchange Rates and Central Bank Interventions
Yılmaz, Kamil - 2001
for martingale property of daily exchange rates of seven major currencies vis-a-vis US dollar. To allow for the … exchange rates do not always follow the martingale process. The results show that during the times of coordinated central bank … intervention exchange rates deviate from martingale property …
Persistent link: https://www.econbiz.de/10014126368
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Currency risk : comovements and intraday cojumps
Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76
Persistent link: https://www.econbiz.de/10011592734
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Martingale regressions for a continuous time model of exchange rates
Guo, Zi-Yi - 2017 - This version: September 2017
One of the daunting problems in international finance is the weak explanatory power of existing theories of the nominal exchange rates, the so-called "foreign exchange rate determination puzzle". We propose a continuous-time model to study the impact of order flow on foreign exchange rates. The...
Persistent link: https://www.econbiz.de/10011729587
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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608
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Official intervention policies and exchange rate dynamics
Gmür, Bruno - 1998
Persistent link: https://www.econbiz.de/10000679551