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Pricing Multivariate Currency Options with Copulas
Schleicher, Christoph; Salmon, Mark - Financial Econometrics Research Centre, Warwick … - 2006
Persistent link: https://www.econbiz.de/10004981087
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Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised)
Schleicher, Christoph; Salmon, Mark; Hurd, Matthew - Financial Econometrics Research Centre, Warwick … - 2005
Persistent link: https://www.econbiz.de/10004981135
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Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index
Hurd, Matthew (contributor); Salmon, Mark H. (contributor);  … - 2007
"We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...
Persistent link: https://www.econbiz.de/10003595871
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Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index
Hurd, Matthew; Salmon, Mark H.; Schleicher, Christoph - 2005
Persistent link: https://www.econbiz.de/10002979536
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Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
Hurd, Matthew - 2008
We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...
Persistent link: https://www.econbiz.de/10012727482
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Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
Schleicher, Christoph; Hurd, Matthew; Salmon, Mark - Society for Computational Economics - SCE - 2005
We model the joint distribution between the euro-sterling and the dollar-sterling exchange rate using option-implied markginal distributions that are connected via a copula function. We then derive univariate distributions for the simpliefied sterling effective exchange rate index (ERI). Our...
Persistent link: https://www.econbiz.de/10005343054
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Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index
Hurd, Matthew; Salmon, Mark; Schleicher, Christoph - Bank of England - 2007
We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...
Persistent link: https://www.econbiz.de/10005737898
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Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
Hurd, Matthew; Salmon, Mark; Schleicher, Christoph - C.E.P.R. Discussion Papers - 2005
We model the joint risk neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...
Persistent link: https://www.econbiz.de/10005661769
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On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates
Kozhan, Roman; Salmon, Mark - Financial Econometrics Research Centre, Warwick … - 2008
Persistent link: https://www.econbiz.de/10010721508
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Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation
Kozhan, Roman; Salmon, Mark - Financial Econometrics Research Centre, Warwick … - 2007
Persistent link: https://www.econbiz.de/10010901344