Arbitrage-free affine models of the forward price of foreign currency
Year of publication: |
2014-02-01
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Authors: | Durham, J. Benson |
Institutions: | Federal Reserve Bank of New York |
Subject: | arbitrage-free model | foreign exchange |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Staff Reports Number 665 29 pages |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson, (2014)
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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson, (2014)
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Capital constraints, counterparty risk, and deviations from covered interest rate parity
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