The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach
We 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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|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France|
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://cermsem.univ-paris1.fr/
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