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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.

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

JEL Classifications: F31, G13, D52

Working Paper Series

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

Suggested Citation

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

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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/

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