Covered arbitrage in foreign exchange ma
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Batlin, Carl A.
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Article
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1999
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John Wiley and Sons
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English
β 110 KB
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In a recent issue of this Journal, 1 Dilip Ghosh confuses the concept of a (known) forward interest rate with that of a (random) future short-term interest rate. As a result, both of his main conclusions-that combining interest rate forwards with foreign exchange (FX) forwards produces a new version