A Currency Forward Contract.

Abdulbasah Kamil, Anton and Khor , Lian Peng (2003) A Currency Forward Contract. In: MFA’S 5th Annual Symposium, 23-24 April 2003.

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Abstract

The aim of the paper is to present one out of conceivable approaches to problems of foreign exchange rates and subsequently forward contracts on them Our approach based on stochastic analysis, provides an untraditional view of the issues. Within the framework of this paper we model the exchange rate on the basis of the geometric Brownian motion. Obtained results entitle the use as a complementary tool when managing the exchange risk.

Item Type:	Conference or Workshop Item (Paper)
Subjects:	Q Science > QA Mathematics > QA1-939 Mathematics
ID Code:	10600
Deposited By:	Mr Erwan Roslan
Deposited On:	22 Jun 2009 14:08
Last Modified:	22 Jun 2009 14:08

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