Abstract

References (9)

Beta

Download | Share | Email | Add to Briefcase | Buy Hard Copy

Foreign Exchange Rates

Srdjan D. Stojanovic
University of Cincinnati

June 5, 2007

Abstract:
We establish a simple, yet completely general model for foreign exchange rates (FXR), in the context of multidimensional, possibly incomplete, Ito SDE market/econometric models. A very simple example is presented as well.

Keywords: Foreign exchange, SDE, portfolio optimization, risk aversion

JEL Classifications: F31, D52

Working Paper Series

Date posted: September 11, 2007 ; Last revised: September 11, 2007

Suggested Citation

Stojanovic, Srdjan D., Foreign Exchange Rates (June 5, 2007). Available at SSRN: http://ssrn.com/abstract=1010422

Export to: Export Citation What's this?

Contact Information

Srdjan D. Stojanovic (Contact Author)

University of Cincinnati ( email )

Department of Mathematical Sciences
Cincinnati, OH 45221-0025
United States
1-513-556-4064 (Phone)
1-513-556-3417 (Fax)

HOME PAGE: http://math.uc.edu/~srdjan/

Feedback to SSRN (Beta)

Paper statistics

Abstract Views: 580
Downloads: 193
Download Rank: 44,048

9

People who downloaded
this paper also downloaded:

1. Foreign Exchange Derivatives
By Srdjan Stojanovic

2. Affine Term Structure Models for the Foreign Exchange Risk Premium
By Luca Benati

3. Market Efficiency, Long-Term Returns, and Behavioral Finance
By Eugene Fama

© 2009 Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use Privacy Policy
This page was served by apollo3 in 0.094 seconds.