Abstract

  


 



On the Existence and Uniqueness of a Central Bank Intervention Policy in a Levy Market


Sandun Perera


University of Texas at Dallas - Naveen Jindal School of Management

Winston Buckley


IMACS
April 22, 2012


Abstract:     
We study a central bank intervention problem in the foreign exchange market driven by a jump diffusion (Levy) process. The optimal intervention bands are derived using impulse control theory. We also prove the existence and the uniqueness of our central bank intervention policy.

Number of Pages in PDF File: 17

Keywords: Impulse Control Theory, Optimal Central Bank Intervention, Levy Processes, Quasi-variational Inequality

JEL Classification: E58

working papers series


Download This Paper

Date posted: April 23, 2012  

Suggested Citation

Perera, Sandun C. and Buckley, Winston, On the Existence and Uniqueness of a Central Bank Intervention Policy in a Levy Market (April 22, 2012). Available at SSRN: http://ssrn.com/abstract=2043712 or http://dx.doi.org/10.2139/ssrn.2043712

Contact Information

Sandun C. Perera (Contact Author)
University of Texas at Dallas - Naveen Jindal School of Management ( email )
800 W. Campbell Road
Richardson, TX 75083-0688
United States
Winston Buckley
IMACS ( email )
Jamaica
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 200
Downloads: 35

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo8 in 0.282 seconds