Technical paper/Foreign exchange
The intrinsic currency valuation framework
Introducing the concept of the intrinsic value of a currency, Paul Doust shows how to use foreign exchange market volatilities to calculate the volatilities of intrinsic currency values and the correlations between them
The vanna-volga method for implied volatilities
Option pricing
Calculating transfer risk using Monte Carlo
Marco van der Burgt constructs a model of emerging market transfer risk based on a country’s foreign exchange reserves that is combined with facility-dependent risk factors that determine counterparty exposure in the event of a moratorium. He then…
Pay attention to interest
Masterclass – with JP Morgan
Extreme forex moves
What is the appropriate statistical description of tail risk in a market portfolio? In the context offoreign exchange, Peter Blum and Michel Dacorogna address this problem using extreme valuetheory. Using 20 years of data, they estimate parameters for an…
In praise of bar data
Forex markets
Optional events and jumps
Masterclass – with JP Morgan