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Stochastic Di⁄erential Equations Exercises - HEC Montréal

Stochastic Di⁄erential Equations Exercises Exercise 11.1. The stochastic process C t = C 0e Wt: t 0; r 0 0 represents the exchange rate evolution, that is C t is the time t value in the domestic currency of one unit of the foreign currency fW t: t 0g is a standard Brownian motion.

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