Best Seller Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options

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Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options High quality books

Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options
By:Christian Pierdzioch
Published on 2001-12-06 by Springer Science & Business Media

A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.

This Book was ranked at 31 by Google Books for keyword Currency.

Book ID of Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options's Books is msgn8b9bqUAC, Book which was written byChristian Pierdziochhave ETAG "3e4J78SN3tk"

Book which was published by Springer Science & Business Media since 2001-12-06 have ISBNs, ISBN 13 Code is 9783540427452 and ISBN 10 Code is 3540427457

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Book which have "207 Pages" is Printed at BOOK under CategoryBusiness and Economics

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