Suppose you are a customer in the FX market and observe the following quotes for FX spot trades of EUR vs the CHF, CHF vs the HUF and CHF vs the HUF with three dealers A, B and C Dealer A B C Currency Pair Bid S(HUF EUR) 365 05 S(CHF EUR) 1 111 S(HUF CHF) 328 85 At these rates None of the other an...

To determine if there is a triangular arbitrage opportunity we need to check if the cross exchang ...

Suppose you are a customer in the FX market and observe the following quotes for FX...

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International Finance Putting Theory Into Practice

ISBN: 978-0691136677

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Authors: Piet Sercu

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Suppose you are a customer in the FX market and observe the following quotes for FX...

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International Finance Putting Theory Into Practice

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