文献详情
Valuing currency swap contracts in uncertain financial market
文献类型：期刊
通讯作者：Gao, JW (reprint author), Renmin Univ China, Sch Informat, Uncertain Syst Lab, Beijing 100872, Peoples R China.; Gao, JW (reprint author), North Carolina State Univ, Edward P Fitts Dept Ind & Syst Engn, Raleigh, NC 27695 USA.
期刊名称：FUZZY OPTIMIZATION AND DECISION MAKING影响因子和分区
年：2019
卷：18
期：1
页码：15-35
ISSN：1568-4539
关键词：Currency swap; Exchange rate; Uncertain currency model; Uncertain process; Yao-Chen formula
所属部门：信息学院
摘要：Swap is a financial contract between two counterparties who agree to exchange one cash flow stream with the other according to some predetermined rules. When the cash flows are interest payments of different currencies, the swap is called a currency swap. In this paper, it is assumed that the exchange rate follows some uncertain differential equations, and the currency swap contracts in uncertain financial market are discussed. For dealing with long-term, short-term and super-short circumstances ...More
Swap is a financial contract between two counterparties who agree to exchange one cash flow stream with the other according to some predetermined rules. When the cash flows are interest payments of different currencies, the swap is called a currency swap. In this paper, it is assumed that the exchange rate follows some uncertain differential equations, and the currency swap contracts in uncertain financial market are discussed. For dealing with long-term, short-term and super-short circumstances, three currency swap models are proposed, respectively. Their explicit solutions are developed through Yao-Chen formula. Moreover, a numerical method is designed for simplifying calculation. Finally, examples are given to show the effectiveness of the theory developed in this paper. ...Hide

DOI：10.1007/s10700-018-9284-5
百度学术：Valuing currency swap contracts in uncertain financial market
语言：外文
被引频次：2
基金：National Natural Science Foundation of ChinaNational Natural Science Foundation of China [61374082]; China Scholarship CouncilChina Scholarship Council [201606365008]
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