The increased volatility in the foreign exchange market in recent years has increased the foreign exchange risk faced by companies worldwide. This phenomenon holds good in the Indian context also. This paper tries to ...The increased volatility in the foreign exchange market in recent years has increased the foreign exchange risk faced by companies worldwide. This phenomenon holds good in the Indian context also. This paper tries to report on the foreign exchange risk-management practices among Indian IT (information technology) companies. The results are consistent with expectations that foreign exchange risks faced by Indian IT companies is very high especially in the light of the recent appreciation of the rupee against the USD and most of the companies are using all the available techniques to mitigate the risks. The evidence suggests that the forward cover is the most widely used derivative instrument in managing the risks and the respondents taking part in the survey believe that the government is failing in maintaining a stable exchange rate.展开更多
The main purpose of this thesis is in analyzing and empirically simulating risk minimizing European foreign exchange option pricing and hedging strategy when the spot foreign exchange rate is governed by a Markov-modu...The main purpose of this thesis is in analyzing and empirically simulating risk minimizing European foreign exchange option pricing and hedging strategy when the spot foreign exchange rate is governed by a Markov-modulated jump-diffusion model. The domestic and foreign money market interest rates, the drift and the volatility of the exchange rate dynamics all depend on a continuous-time hidden Markov chain which can be interpreted as the states of a macro-economy. In this paper, we will provide a practical lognormal diffusion dynamic of the spot foreign exchange rate for market practitioners. We employing the minimal martingale measure to demonstrate a system of coupled partial-differential-integral equations satisfied by the currency option price and attain the corresponding hedging schemes and the residual risk. Numerical simulations of the double exponential jump diffusion regime-switching model are used to illustrate the different effects of the various parameters on currency option prices.展开更多
文摘The increased volatility in the foreign exchange market in recent years has increased the foreign exchange risk faced by companies worldwide. This phenomenon holds good in the Indian context also. This paper tries to report on the foreign exchange risk-management practices among Indian IT (information technology) companies. The results are consistent with expectations that foreign exchange risks faced by Indian IT companies is very high especially in the light of the recent appreciation of the rupee against the USD and most of the companies are using all the available techniques to mitigate the risks. The evidence suggests that the forward cover is the most widely used derivative instrument in managing the risks and the respondents taking part in the survey believe that the government is failing in maintaining a stable exchange rate.
基金Supported by the National Natural Science Foundation of China(No.11301454,No.71771147 and No.71201100)the Jiangsu Qing Lan Project for Excellent Young Teachers in University(2014)+1 种基金Six Talent Peaks Project in Jiangsu Province(2016-JY-081)the Natural Science Foundation for Colleges and Universities in Jiangsu Province(17KJB110020)
文摘The main purpose of this thesis is in analyzing and empirically simulating risk minimizing European foreign exchange option pricing and hedging strategy when the spot foreign exchange rate is governed by a Markov-modulated jump-diffusion model. The domestic and foreign money market interest rates, the drift and the volatility of the exchange rate dynamics all depend on a continuous-time hidden Markov chain which can be interpreted as the states of a macro-economy. In this paper, we will provide a practical lognormal diffusion dynamic of the spot foreign exchange rate for market practitioners. We employing the minimal martingale measure to demonstrate a system of coupled partial-differential-integral equations satisfied by the currency option price and attain the corresponding hedging schemes and the residual risk. Numerical simulations of the double exponential jump diffusion regime-switching model are used to illustrate the different effects of the various parameters on currency option prices.
