Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps

Impulse control with random reaction periods (ICRRP) is used to derive a country’s optimal foreign exchange (forex) rate intervention policy when the forex market reacts to the interventions. This paper extends the previous work on ICRRP by incorporating a multi-dimensional jump diffusion process to...

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Veröffentlicht in:	Annals of operations research 2018-03, Vol.262 (1), p.213-238
Hauptverfasser:	Perera, Sandun, Buckley, Winston, Long, Hongwei
Format:	Artikel
Sprache:	eng
Schlagworte:	Business and Management Central banks Combinatorics Foreign exchange Foreign exchange markets Intervention Management Markets Mathematical models Minimum cost Operations research Operations Research/Decision Theory S.I.: Risk Management Approaches in Engineering Applications Theory of Computation Viability Volatility
Online-Zugang:	Volltext
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