provides a general setup driven by a multi-dimensional diffusion process.

Specification of the Currency Market {#sec:specification}
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We use superscripts to reference different currencies, and employ bold letters for vectors and subscripts for elements thereof. Unless specified by a suitable superscript, all expectations are considered with respect to the real world probability measure ${\mathbb{P}}$. We model the currency market on a probability space $\left(\Omega,{\mathcal{F}}_{\bar T},{\mathbb{P}}\right)$, where $\bar T<\infty$ is a finite time horizon. On this space we introduce a filtration $({\mathcal{F}}_t)_{0\leq t\leq \bar T}$ to model the evolution of information, satisfying the usual assumptions. The above filtered probability space supports a standard $d$-dimensional ${\mathbb{P}}$-Brownian motion ${\mathbf{Z}}$=$\{{\mathbf{Z}}(t)=(Z_1(t),\ldots , Z_d(t)),\ 0\leq t\leq \bar T\}$ for modeling the traded uncertainty. The constant $N$ denotes the number of currencies in the model, whereas $d$ is the number of traded risky factors we employ.\
In each economy we postulate the existence of a money market account, i.e. the $i$-th money market account,when denominated in units of the $i$-th currency, evolves according to the relation $$\begin{aligned}
{\mathrm{d}}B^i(t) =B^i(t)r^i(t){\mathrm{d}}t, \ B^i(0)=1, \ 0\leq t \leq \bar T;\end{aligned}$$ with the ${\mathbb{R}}$-valued, adapted $i$-th short rate process $r^i=\left\{r^i(t), \ 0 \leq t\leq \bar T \right\}$. We denote by $S^{i,j}$$=\left\{S^{i,j}(t), 