英文标题：
《An Exchange Rate Target Zone Model with a Terminal Condition and
Mean-Reverting Fundamentals》
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作者：
Viktors Ajevskis
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最新提交年份：
2015
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英文摘要：
This paper proposes a target zones exchange rate model with a terminal condition of entering a currency zone. It is assumed that the exchange rate is a function of the fundamental and time. Another essential assumptions of the model is that the fundamental process is bounded inside a band and that terminal condition for the exchange rate holds. The fundamental is specified in two ways: as a regulated Brownian motion and Ornstein-Uhlenbeck processes. For the case of the Brownian motion process the closed form solution of the problem is obtained, whereas for the Ornstein-Uhlenbeck process the closed form solution does not exist, therefore we had to use numerical method for solving of the problem. Both specifications are compared numerically.
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中文摘要：
本文提出了一个目标区汇率模型，其终端条件是进入一个货币区。假设汇率是基本面和时间的函数。该模型的另一个基本假设是，基本过程在一个区间内有界，并且汇率的终端条件成立。基本原理有两种形式：一种是调节布朗运动，另一种是Ornstein-Uhlenbeck过程。对于布朗运动过程，得到了问题的闭式解，而对于Ornstein-Uhlenbeck过程，不存在闭式解，因此我们必须使用数值方法来解决问题。对两种规格进行了数值比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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