Protecting pegged currency markets from speculative investors

DOI10.1111/mafi.12324zbMath1522.91163arXiv1801.07784OpenAlexW3170220309MaRDI QIDQ6078604

Alexander Schied, Eyal Neuman

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.07784

zbMATH Keywords

Stackelberg equilibriumlocal timesingular stochastic controlmarket impacttarget zone modelscurrency peg

Mathematics Subject Classification ID

Applications of game theory (91A80) Macroeconomic theory (monetary models, models of taxation) (91B64) Stochastic games, stochastic differential games (91A15)

Related Items

Optimal Execution: A Review

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal portfolio liquidation in target zone models and catalytic superprocesses
• A central bank strategy for defending a currency peg
• Optimal stochastic intervention control with application to the exchange rate
• Optimal Central Bank intervention in the foreign exchange market
• A variational representation for certain functionals of Brownian motion
• Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
• Optimal Impulse Control When Control Actions Have Random Consequences
• Impulse Control Method and Exchange Rate
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism