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Currency exchange rate risk hedging strategies using MXN/USD MexDer futures contracts
Santillán Salgado, Roberto Joaquín; Ulín-Lastra, … - In: International journal of bonds and derivatives 2 (2016) 3, pp. 186-210
Persistent link: https://www.econbiz.de/10011742331
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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 …. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT …
Persistent link: https://www.econbiz.de/10008663372
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Risk-adjusted covered interest parity : theory and evidence
Wong, Alfred Y.; Leung, David; Ng, Calvin - 2016
Persistent link: https://www.econbiz.de/10012200964
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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An examination of the forward prediction error of US dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium a...
Simpson, Marc W.; Grossmann, Axel - In: The North American journal of economics and finance : a … 28 (2014), pp. 221-238
Persistent link: https://www.econbiz.de/10010461953
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Testing the martingale hypothesis in the Deutschmark/US dollar futures and spot markets
MacCurdy, Thomas H.; Morgan, Ieuan G. - 1985
Persistent link: https://www.econbiz.de/10003529091
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Risk premium or irrational expectations? : an investigation into the causes of forward discount bias across 27 developed and developing economies forward rates
Miah, Fazlul; Al-Titi, Omar - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012658795
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Application of the Interest Rate Parity, IRP, Between Two Currencies Euro/USD to Determine the Implied Currency Appreciation or Depreciation of an Interest Rate Forward Futures Con...
Guirguis, Michel - 2021
In this article, we apply interest rate parity, IRP, between two currencies EURO/USD to determine the implied currency appreciation or depreciation of an interest rate forward futures contract. Exchange rate risk is related to the appreciation or the depreciation of a currency relevant to...
Persistent link: https://www.econbiz.de/10013232526
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Are Indian forward spot markets rational forecasts of future spot rates
Kalsie, Anjala; Goyal, Anil Kumar - In: Mudra : journal of finance and accounting 2 (2015) 2, pp. 63-76
Persistent link: https://www.econbiz.de/10011661884
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Derivatives and exchange rate hedging strategies in Uruguayan firms
Mello Costa, Miguel - 2017
Persistent link: https://www.econbiz.de/10011924676