Barrie & Hibbert

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Exchange Rate Model

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2008

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

• Model
  • 2 Factor Black Karasinski Model
  • 2 Factor Vasicek Model
  • Constant Volatility Model
  • Credit Model
  • Equity Mean-Reversion Model
  • Exchange Rate Model
  • General Equity Model
  • Inflation Model
  • Libor Market Model
  • Local Volatility Model
  • Mortality Model
  • Mortgage-Backed Securities Model
  • Other Models
  • Stochastic Volatility & Jump Diffusion Model
  • Time-Varying Deterministic Volatility Model

• Asset Class
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  • Property

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Other categories

• Calibration Methodology & Techniques
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• Calibration Targets
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• Events
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• iESG
  • Version 6.2
• Monte Carlo Methodology
  • Correlation Matrices
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• Archive

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