Seminar "Derivatives: Opportunities and Challenges for Central Banks"
Figure 1: Inflation Expectations – 12 Months Ahead
Figure 2: BOI Fx Options - 3 Months to Maturity “Pure at the Money”
Figure 3: Exchange Rate and the Probability of a Depreciation of at Least 10 Percent in the 6 Months Ahead
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Figure 5: Exchange Rate, Historical Volatility and Implied Volatility
Figure 6: Implied Volatility Smiles of Call Options
Figure 7: Implied Volatility Smiles of Call Options
Figure 7a: Density and Cumulative Probability Function* of the Exchange Rate: Extracted from Option Prices with Maturity Date: 27-Feb-02
Figure 7b: Density and Cumulative Probability Function* of the Exchange Rate: Extracted from Option Prices with Maturity Date: 27-Feb-02
Figure 8: The Official and the Effective Exchange Band Rate, and the Exchange Rate (1/2/96 – 16/1/02)
Table 1: NIS/Dollar Options Sold Currently - Real Profit and Loss Report (NIS million)
Table 2: Tests of the Sustainability of Inflation Targeting With an Effective FX Band*
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