This paper proposes two numerical solution based on Product Optimal Quantization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Power Reverse Dual Currency options, where we take into account stochastic domestic and foreign interest rates top FX rate, hence consider a 3-factor model. For these methods, give an estimation $L^2$-error induced by such approximations...

We consider the problem of estimating a density fX using a sample Y1,. .. , Yn from fY = fX ⋆ fǫ, where fǫ is an unknown density. We assume that an additional sample ǫ1,. .. , ǫm from fǫ is observed. Estimators of fX and its derivatives are constructed by using non-parametric estimators of fY and fǫ and by applying a spectral cutoff in the Fourier domain. We derive the rate of convergence of th...

The purpose of this paper is to measure the impact interest rate decisions Monetary Policy Committee (MPC) on foreign exchange (FX) in Brazil. Two new daily measures surprises are proposed using market and survey data. results indicate a significant effect MPC's FX returns. In particular, surprise variable based data statistically explain returns has negative sign, as expected (a positive impli...

We present a highly efficient parallelization of the computation of the price of exotic cross-currency interest rate derivatives with path-dependent features via a Partial Differential Equation (PDE) approach. In particular, we focus on the parallel pricing on Graphics Processing Unit (GPU) clusters of long-dated foreign exchange (FX) interest rate derivatives, namely Power-Reverse Dual-Currenc...

The serotonergic system plays a crucial role in the energy balance regulation. Energy balance is mediated by food intake and caloric expenditure. Thus, the present study investigated the mechanisms that might be associated with fluoxetine treatment-induced weight reduction. Wistar male rat pups received daily injections with subcutaneous fluoxetine (Fx-group) or vehicle solution (Ct-group) from...

We analyze the profitability of FX swaps used by central bank Brazil to shed light on rationale for intervention. find that are profitable in expectation, suggesting intervention is stabilize exchange rate face temporary excessive movements rather than manipulate it away from fundamental values. In line with this interpretation, we scale responds degree misalignment relative UIP conditions. als...

T congenital factor X (FX) is a plasmatic glycoprotein, which plays a crucial role in coagulation. Its deficit is among rare causes of the hemorrhage in child. It could be acquired or congenital. The main hemorrhagic manifestations are epistaxis, hematuria, and menorrhagia in females, sometimes hemarthrosis even craniocerebral hemorrhage. The measurement of the FX rate in the blood allows the d...