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Is foreign exchange intervention through derivative instruments effective? : an analysis of the Peruvian case
Abanto Salcedo, Flavio - 2024
emphasis on the intervention carried out through derivative instruments. I use two different but related approaches to estimate …
Persistent link: https://www.econbiz.de/10015053909
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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 derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278
Persistent link: https://www.econbiz.de/10011312416
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The effect of USD/EURO exchange rate volatility on futures market for gold
Bhatt, Suyash - In: International journal of applied business and economic … 10 (2012) 2, pp. 269-282
Persistent link: https://www.econbiz.de/10009731700
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Information and volatility in futures and spot markets : the case of Japanese Yen
Song, Frank M.; Chatrath, Arjun - 1997
Persistent link: https://www.econbiz.de/10000977581
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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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Currency futures market in India : an empirical analysis of market efficiency and volatility
Nath, Golak Bihari; Pacheco, Manoel - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 47-84
Persistent link: https://www.econbiz.de/10011974206
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Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: International review of economics & finance : IREF 93 (2024) 2, pp. 503-519
Persistent link: https://www.econbiz.de/10014535585
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The Q-measure dynamics of forward rates
Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522
Persistent link: https://www.econbiz.de/10014426352
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Foreign exchange futures trading and spot market volatility in Thailand
Woradee Jongadsayakul - In: Risks : open access journal 12 (2024) 7, pp. 1-20
This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity, including trading volume and open interest in the Thailand...
Persistent link: https://www.econbiz.de/10014637194