We consider a currency with exchange rate dynamics modeled as a geometric Brownian
motion. The objective of the Central Bank is to keep this exchange rate as close as possible …

We present two analytically tractable diffusion models for an exchange rate in a target zone.
One model generalizes a model proposed by De Jong, Drost, and Werker (2001) to allow …

On 6 September 2011, a ceiling on the value of the Swiss franc was imposed, at CHF 1.2 per
euro. With the continuous weakness of the euro area economy, this exchange rate limit was …

Conditional default probability (CDP) is one of the most important concepts in credit risk. In
this article, we focus on the CDP in a regulated (or controlled) market. As is known, in a …

In this article, we use recursive and rolling cointegration methods to test for a system
ofseveral exchange rates being within the process of convergence. We use the methods to …

This paper proposes a quasi-bounded process for exchange rate dynamics within a target
zone, consistent with a credible exchange rate band in which the exchange rate cannot …

Short description of the book... Relation to other books... Books emphasizing descriptions of
markets and products: Fabozzi (2000), van Horne (2001). Books emphasizing modern …

Full article: FX options in target zones Skip to Main Content Taylor and Francis Online
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The paper provides a continuous-time model of the dynamic behavior of exchange rates and
interest rates when exchange rates are managed within a target zone with the possibility of …

Abstract We demonstrate that Fokker–Planck equations with logarithmic factors in diffusion
and drift terms can be straightforwardly derived from the class of" constant elasticity of …