The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach.

We develop here a framework of cross currency arbitrage in the presence of a currency peg. In particular the relationship between interest rate and FX derivatives is analysed in such a framework.

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Year of publication:	1999
Authors:	Aspandilarov, S. ; Bottazzi, J.-M.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	INTEREST RATE \| PRODUCTS \| PRICES

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	11 pages
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005776565