Optimal currency risk hedging

Journal of International Money and Finance

Volumn 21, Issue 2, 2002, Pages 241-264

  Lioui, Abraham ^a   Poncet, Patrice ^b,c  

^a BAR ILAN UNIVERSITY   (Israel)

^b UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

^c ESSEC BUSINESS SCHOOL   (France)

Author keywords

Currency risk; Foreign investment; Forwards; Futures; Interest rate risk; Marking to market; Stochastic optimal control

Indexed keywords

EID: 0036198569     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(01)00045-6     Document Type: Article

References (35)

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