The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach
AbstractWe develop here a framework of cross currency arbitrage in the presence of a currency peg. In particular the relationship between interest rate and FX derivatives is analysed in such a framework.
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Bibliographic InfoPaper provided by UniversitÃ© PanthÃ©on-Sorbonne (Paris 1) in its series Papiers d'Economie MathÃ©matique et Applications with number 1999.80.
Length: 11 pages
Date of creation: 1999
Date of revision:
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INTEREST RATE ; PRODUCTS ; PRICES;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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