WP1: A day in a speculative currency marketResearch highlights:1. Determines a predictive potential range for rupee-dollar exchange rates2. Analyses formation of market expectations and its uses by market participants3. Empirically establishes a building block for intervention tools4. Outline remainder outputs for completion of a policy paper
WP2:Another day in currency derivatives marketResearch highlights1. Conceptualization of vega-reciprocal2. Empirical tests of the size and sign of vega-reciprocal3. Intervention mechanisms in currency derivatives market
WP3: Any day in currency derivatives market
1. Demonstration of option price interventions and simulations
2. Superior cost-effectiveness of options market intervention and leverage
3. Design of intervention trades and outcome
For continuous differentiable functions, partial derivative of the inverse is inverse of the partial derivative and we can get the vega-reciprocal simply by inverting the vega itself. This confirms that vega-reciprocal is positive, supporting our empirical estimates.