We find that deviations from the covered interest rate parity (CIP) condition imply large,
persistent, and systematic arbitrage opportunities in one of the largest asset markets in the …

This paper examines the joint determination of deviations in long-term covered interest rate
parity and differences in the credit spread of bonds of similar risk but different currency …

This book covers foreign exchange options from the point of view of the finance practitioner.
It contains everything a quant or trader working in a bank or hedge fund would need to know …

This paper studies the violation of the most basic no-arbitrage condition in international
finance—Covered Interest Parity (CIP). We find that the CIP puzzle largely stems from …

Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding
of money market and foreign exchange products, turn to FX Options and Structured …

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding
and Discounting Yield Curves Page 1 Electronic copy available at: http://ssrn.com/abstract=1334356 …

A guide to the validation and risk management of quantitative models used for pricing and
hedging Whereas the majority of quantitative finance books focus on mathematics and risk …

Following the financial crisis dramatic market changes, a new standard in interest rate
modelling emerged, called the multi-curve framework. The author provides a detailed …

To understand deviations from covered interest parity (CIP), it is crucial to account for
heterogeneity in funding costs across both banks and currency areas. For most market …

Different anomalies have appeared in the interest rate market after the burst of the credit
crunch. A wide wedge has opened between the market quotes of Forward Rate Agreements …