Exchange Rate / Currency
2010
Jan 2010 Real-world currency calibration: modelling fixed exchange rates
2008
Sep 2008 FX Modelling: The Effect of Changing Base Currency on Model Parameters
Apr 2008 The Difference Between Foreign Deflators and the Foreign Cash Roll Up: Implications for Risk-Neutral
2007
Dec 2007 Currency Hedging within the iESG: Composite Portfolios
Oct 2007 Multi-Currency Valuation - ‘Quanto’ Drift Adjustment
2005
Apr 2005 Modelling Foreign Exchange: Expected Exchange Rate Paths
2004
Feb 2004 Currency Model Specification
2000
Sep 2000 Currency Strength Model