In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based on stochastic process by...

In this paper, we shall propose a useful approach to evaluate concretely the MEMM (minimal entropy martingale measure) for the typical geometric Lévy processes such as compound Poisson, stable, VG (Variance Gamma), CGMY (Carr-Geman-Madan-Yor), NIG (Normal Inverse Gaussian), etc. In addition, we...

Purpose: Due to increased health concerns, restaurant customers rely more on credible cues that indirectly represent health-related credence quality. To comprehensively understand the dynamics between credence cues and restaurant delivery with different infection risks, this study aims to...

Purpose: The purpose of this paper is to compare the changes in the risk spillover effects between the copper spot and futures markets before and after the issuance of copper options, analyze the risk spillover effects between the three markets after the issuance of the options and can provide...