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Exchange Rate Risk and Business Cycles
Lloyd, S. P. / Marin, E. A.
asset pricing / financial economicsResource overview

Exchange Rate Risk and Business Cycles

Paper2019

by Lloyd, S. P., Marin, E. A.

Tags
asset pricingfinancial economicsforeign exchange

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Suggested foundations for asset pricing and factor research and options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

  3. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

  3. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Empirical Asset Pricing and Factor Investing Explore Derivatives Pricing and Computational Finance

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