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Spreading currency forwards: why and how?

  • Lioui, Abraham

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 18 (1999)
Issue (Month): 2 (February)
Pages: 305-317

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Handle: RePEc:eee:jimfin:v:18:y:1999:i:2:p:305-317
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  1. Duffie Darrell & Rahi Rohit, 1995. "Financial Market Innovation and Security Design: An Introduction," Journal of Economic Theory, Elsevier, vol. 65(1), pages 1-42, February.
  2. Gurdip S. Bakshi & Zhiwu Chen, 1996. "Equilibrium Valuation of Foreign Exchange Claims," Yale School of Management Working Papers ysm51, Yale School of Management.
  3. Glen, Jack & Jorion, Philippe, 1993. " Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-86, December.
  4. Dezhbakhsh, Hashem, 1994. "Foreign Exchange Forward and Futures Prices: Are They Equal?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 75-87, March.
  5. Peterson, Richard L., 1977. "Investor Preferences for Futures Straddles," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(01), pages 105-120, March.
  6. Lioui, Abraham & Eldor, Rafael, 1998. "Optimal spreading when spreading is optimal," Journal of Economic Dynamics and Control, Elsevier, vol. 23(2), pages 277-301, September.
  7. Amin, Kaushik I. & Jarrow, Robert A., 1991. "Pricing foreign currency options under stochastic interest rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 310-329, September.
  8. Duffie, Darrell & Jackson, Matthew O., 1990. "Optimal hedging and equilibrium in a dynamic futures market," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 21-33, February.
  9. Cuny, Charles J, 1993. "The Role of Liquidity in Futures Market Innovations," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 57-78.
  10. Poncet, Patrice & Portait, Roland, 1993. "Investment and hedging under a stochastic yield curve : A two-state-variable, multi-factor model," European Economic Review, Elsevier, vol. 37(5), pages 1127-1147, June.
  11. Frachot, Antoine, 1996. "A reexamination of the uncovered interest rate parity hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 419-437, June.
  12. Lien, Da-Hsiang Donald, 1992. "Optimal hedging and spreading in cointegrated markets," Economics Letters, Elsevier, vol. 40(1), pages 91-95, September.
  13. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
  14. Brealey, R. A. & Kaplanis, E. C., 1995. "Discrete exchange rate hedging strategies," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 765-784, August.
  15. Schrock, Nicholas W, 1971. "The Theory of Asset Choice: Simultaneous Holding of Short and Long Positions in the Futures Market," Journal of Political Economy, University of Chicago Press, vol. 79(2), pages 270-93, March-Apr.
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