GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

2010 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Interest Rate Derivatives ◽  
Foreign Exchange Volatility

scholarly journals Forex Risk Management by SMEs and Unlisted Non-financial Firms: A Literature Survey

2017 ◽  
Vol 8 (2) ◽  
pp. 145-166 ◽  
Author(s):  
Aman Chugh ◽  
Renuka Sharma ◽  
Kiran Mehta
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Emerging Markets ◽  
Financial Markets ◽  
Foreign Exchange ◽  
Foreign Exchange Risk ◽  
Interest Rate Derivatives ◽  
Financial Firms ◽  
Currency Derivatives ◽  
Exchange Risk

In the recent globalised financial markets, financial markets are more integrated which leads to more foreign exchange risk for firms. In such scenario currency derivatives are top most operational hedging strategy to manage foreign exchange risk. This scenario is different in developed and emerging markets as turnover of derivatives is growing swiftly in emerging markets and uses of currency derivatives is common but lower in comparison to the interest rate derivatives. In emerging markets (Hong Kong, Singapore and Brazil) use of currency derivatives is fifty per cent of total derivative traded follow by equity derivatives and interest rate derivatives (Mihaljek and Packer, 2010). The benefits of doing hedging have been discussed by many finance experts. These include classic contribution by Miller and Modigliani (1958) and then by Smith and Stulz (1985). Several studies have employed the questionnaire approach for the analysis of exchange-rate exposure management in non-financial firms (e.g. Bodnar and Gebhardt, 1999; Hakkarainen et al., 1998; Bodnar et al., 1998; Marshall, 2000; Ceuster et al., 2000; Mallin et al., 2001). The most refered study is Bodnar et al. (1998), which considered publicly traded U.S. firms. The present study examines the forex risk management by SMEs and unlisted non-financial forms in the form of literature review.

Carry Trades and Global Foreign Exchange Volatility

CFA Digest ◽  
2012 ◽  
Vol 42 (3) ◽  
pp. 1-2
Author(s):  
Georgeann Portokalis
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Volatility

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework
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