s*****g
发帖数: 77 | 1 如题啊。下下周有个面试，请问版上有没有面过或者了解的啊？
不知道做foreign exchange的都用什么方法，model啊？ | s*****g
发帖数: 77 | 2 自己顶啊~有人了解foreign exchange现在都怎么做吗？ | s*****g
发帖数: 77 | | c****o
发帖数: 1280 | 4 shreve上有一章change of numeria里面我觉得讲的挺好的。。。。。不过很基本，可
以建议看看。
以前小芝麻他爹也推荐过一个链接，可以在本版找找。
【在 s*****g 的大作中提到】
: 如题啊。下下周有个面试，请问版上有没有面过或者了解的啊？
: 不知道做foreign exchange的都用什么方法，model啊？
| g*****1
发帖数: 18 | 5 My guess is to long high interest rate currency and short low IR currency,
and take a reverse position in forward contract. Based on interest rate
parity, the high IR currency is expected to depreciate and low IR currency
to do the opposite. However, In most cases, the expected depreciation/
appreciation does not follow interest rate parity. As a result, you get the
benefit of interest rate differences, and favorable move in FX rate.
Just my vague memory. | s*****g
发帖数: 77 | 6 Thank you , Chimbo and gamma11 for your valueable input!
I don't know if I have baozi and how to give baozi to you( never do this
before).
But if I can pass the second round, I will give baozi to you! |
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