Martingale representation for FX and interest rate
Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
... to interest rate risk, underlying (equity) risk, FX risk, and credit risk, and due to the convertible bond’s early exercise American ...of interest rate and equity risk that is ...
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FX trading and Exchange Rate Dynamics
... I now turn to examine the origins of exchange rate movements using the FX trading model presented in Section III. Table IV reports GMM estimates of the univariate version of equation ~5! for 10 different ...
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FX Trading and Exchange Rate Dynamics
... exchange rate models by focusing on the information structure of trading between FX dealers in the spot ...of FX transaction ...exchange rate movements over all ...
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Testing for uncovered interest rate parity using distributions implied by FX options.
... However, the literature on the peso problem (Krasker, 1980), on the regime changes (Evans and Lewis, 1995) and on the learning hypothesis (Lewis, 1989) suggests that rejections might be at least partly caused by the ...
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Corporate Risk Management Advisory Services FX and interest rate solutions for clients
... As a state-owned entity, the company’s risk preferences are naturally subject to political sensitivities. We identify market opportunities which are appropriate to the company’s particular circumstances, and our ...
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Great - Volatility and Correlation in the Pricing of Equity, Fx, And Interest-Rate Options (Wiley,2005)2
... In the particular case we have just e~amined, however, one can irnmediately see that, given the local volatility surface obtained using Equations (6.~)-(6.~), not even the quali[r] ...
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A Martingale Representation for Matching Estimators
... private mortgage insurance, and who do not have a public record of default or bankruptcy at the time of the application. This leaves us with a sample of 148 black applicants and 1336 white applicants, for a total of 1484 ...
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INTEREST RATES AND FX MODELS
... of interest rates: If rates go up, the price of the contract goes down, and the investor needs to add money into the margin account, rather than investing it at higher rates (opportunity loss for the ...lower ...
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INTEREST RATES AND FX MODELS
... 100 × (1 − R). For example, if R = 2.32%, the quoted price of the contract is 97.68. Unlike a FRA, the Eurodollar future quoted price is linear in the underlying rate. At any time, 44 Eurodollar contracts are ...
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INTEREST RATES AND FX MODELS
... We proceed as follows. First, we select a hedging portfolio and the rates scenarios. The hedging port- folio consists of vanilla instruments such as spot or forward starting swaps, Eu- rodollar futures, and forward ...
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Decomposition of risk based on the Martingale Representation Theorem for annuity and insurance portfolios
... mortality rate modelling may not be applicable at extreme old ...mortality rate estimates may be irrelevant at older ages when the risk of death is extremely ...
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Interest rate strategy
... Japan: This report is being distributed in Japan by RBS Securities Japan Limited to institutional investors only. South Korea: This Material is being distributed in South Korea by, and is attributable to, RBS Asia ...
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CiteSeerX — A Martingale Representation for Matching
... a martingale representation for matching ...This representation allows the use of martingale limit theorems to derive the large sample distribution of matching ...
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Martingale approximation for common factor representation
... Keywords: martingale approximation, dynamic factor model, eigenvalue, stability 1 Introduction The common factor representation of multivariate time series, which is based on the prin- cipal component ...
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Chaotic expansion of powers and martingale representation
... n=1 R H n dN n for certain pairwise strongly orthogonal martingales N n . 2 The series convergence takes place in H 2 . The base martingales N n are intrinsically associated to X, and, in their case, on a choice of an ...
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CiteSeerX — 2012a) “A Martingale Representation for Matching Estimators
... a martingale representation for matching ...This representation allows the use of martingale limit theorems to derive the asymptotic distribution of matching ...
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Chaotic expansion of powers and martingale representation (v1.2)
... M = P ∞ n=1 R H n dN n for certain pairwise strongly orthogonal martingales N n . 1 The series convergence takes place in H 2 . The base martingales N n are intrinsically associated to X, and, in their case, on a choice ...
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CiteSeerX — A martingale representation result and an application to incomplete financial markets
... TO INCOMPLETE FINANCIAL MARKETS S D JACKA 1 Department of Statistics, University of Warwick, Coventry CV4 7AL, UK. ABSTRACT We establish necessary and sufficient conditions for an H 1 -martingale to be ...
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INTEREST RATE AND INTEREST CHARGES
... Percentage Rate for purchases if you make a late ...Prime Rate plus 18.74 percentage points. "Prime Rate" means the highest Prime Rate published in the "Money Rates" table in ...
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INTEREST RATE AND INTEREST CHARGES
... charging interest on balance transfers and cash advances made Over the Counter, at an Automated Teller Machine (ATM), Same-Day Online or by Convenience Check on the transaction date or the first day of the billing ...
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