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Danie͏̈ls, Tijmen; Jager, Henk; Klaassen, Franc - 2009

While virtually all currency crisismodels recognise that the fate of a currency peg depends on how tenaciously policy makers defend it, they seldom model how this is done. We incorporate themechanics of speculation and the interest rate defence against it in the model ofMorris and Shin (American...

Persistent link: https://www.econbiz.de/10003814475

Illiquidity and derivative valuation

Horst, Ulrich; Naujokat, Felix - 2010

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...

Persistent link: https://www.econbiz.de/10003952859

Illiquidity and derivative valuation

Horst, Ulrich; Naujokat, Felix - 2010

Persistent link: https://www.econbiz.de/10010270818

Defending against speculative attacks

Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - 2008

While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. In this paper we incorporate both the...

Persistent link: https://www.econbiz.de/10011377093

Games in a foreign exchange market and solutions

Habibi, Reza - In: Financial internet quarterly 19 (2023) 3, pp. 75-86

replication portfolio. However, in the current paper, arbitrage opportunities are studied using the game theory perspective. This … opportunities, simultaneously, (II) translating arbitrage detection as game theory concepts, (III) solving the problem using … techniques of optimal control theory. Finally concluding remarks are proposed. …

Persistent link: https://www.econbiz.de/10014496650