Foreign Exchange Derivatives

Stojanovic, Srdjan

doi:10.2139/ssrn.1010428

Abstract

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Foreign Exchange Derivatives

Srdjan D. Stojanovic

University of Cincinnati

June 5, 2007

Abstract:
We establish general theory of foreign exchange derivatives (FXD), for multidimensional, possibly incomplete, Itô SDE market/econometric models. The established theory is consistent with the one of foreign exchange rates (FXR) introduced by the author in a previous note. A very simple example is presented as well.

Number of Pages in PDF File: 4

Keywords: Foreign exchange, SDE, PDE, derivative pricing and hedging, portfolio optimization, risk aversion

JEL Classification: F31, G13, D52

working papers series

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Date posted: September 11, 2007

Suggested Citation

Stojanovic, Srdjan D., Foreign Exchange Derivatives (June 5, 2007). Available at SSRN: http://ssrn.com/abstract=1010428 or http://dx.doi.org/10.2139/ssrn.1010428

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/