Advisory Committee Chair
Ian W Knowles
Advisory Committee Members
Shangbing Ai
Marius N Nkashama
Roger B Sidje
Chengcui Zhang
Document Type
Dissertation
Date of Award
2020
Degree Name by School
Doctor of Philosophy (PhD) College of Arts and Sciences
Abstract
Catastrophic economic events like the oil price shock in 1973, the 9/11 event in 2001, the stock market crash in October, 1987, the financial crash of late 2008 and the Covid-19 epidemic impact the US economy without warning, with varying effect, from sharp downturns to actual market crashes. Current economic theory and the associated statistical models are not able to predict these events. The development of predictive models for the US economy needs at the very least prediction models for its major components: commodities, stocks, bonds and currencies. I am going to model the currency exchange rates using a stochastic differential equation model by predicting the exchange rate trend using a system of delay differential equations, and recovering the future volatility of exchange rates by solving an inverse problem obtained from the Garman-Kohlhagen partial differential equation for foreign exchange options.
Recommended Citation
Tamang, Sundar, "A Model For Currency Exchange Rates" (2020). All ETDs from UAB. 937.
https://digitalcommons.library.uab.edu/etd-collection/937