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Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

Persistent link: https://www.econbiz.de/10011302131

Currency hedging for a multi-national firm

Kallio, Markku; Koivu, Matti; Wang, Rudan - In: Handbook of recent advances in commodity and financial …, (pp. 297-320). 2018

Persistent link: https://www.econbiz.de/10011898659

On the stationarity of futures hedge ratios

Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303

Persistent link: https://www.econbiz.de/10013443633

Forward-rate target zones and exchange rate dynamics

Lin, Hwan-chyang - In: Journal of international money and finance 27 (2008) 5, pp. 831-846

Persistent link: https://www.econbiz.de/10003726964

Stochastic dividend yields and derivatives pricing in complete markets

Lioui, Abraham - In: Review of derivatives research 8 (2005) 3, pp. 151-175

Persistent link: https://www.econbiz.de/10003408019

FX smile in the Heston model

Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...