外汇风险与保值的量化分析

The Quantitative Analysis of the Foreign Exchange Risk and Hedge

米迦勒·阿德勒。伯纳德·杜马斯和杰克奎斯。Ａ．斯科纳伯在外汇风险的定义及度量以及如何消除外汇风险做了开创性的工作。本文试图把他们的研究推广到更为一般的情形。考虑到经济数据的序列相关性，建立了更加符合实际，更具有可操作性的模型。

Michael Adler,Bernald Dumas and Jacques A.Schnabel have finished the initiate work on the definition and measurement of foreign exchange risk and the method to avoid it.This paper tries to extend their work to a more general sequence. considering the autocorrelation of the economic data,it has established a more rational and pratiral model.