smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2020SMQ / 164354868850316
Will the secular decline in exchange rate and inflation volatility survive COVID-19?
Ilzetzki, Ethan / Reinhart, Carmen M. / Rogoff, Kenneth S.
economic policy / foreign exchangeResource overview

Will the secular decline in exchange rate and inflation volatility survive COVID-19?

Paper2020

by Ilzetzki, Ethan, Reinhart, Carmen M., Rogoff, Kenneth S.

Tags
economic policyforeign exchangeinterest rates

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for volatility models and surfaces and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

Explore a related reading path

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

Explore Advanced Derivatives and Exotic Options Explore Fixed Income and Interest-Rate Models

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Ilzetzki, Ethan, Reinhart, Carmen M., Rogoff, Kenneth S.

2