Problem 4.

You visited the foreign exchange trading room of a major bank when a trader asked for quotes of the Japanese yen from various correspondents and heard of the following:

$: quoted by JM Morgan: 102.30102.35.

$: quoted by Citi Bank: 102.25112.30.

$: quoted by Wells Fargo: 102.35102.40.

Given the above rates, is there an arbitrage opportunity assuming no transaction costs? How are you going to exploit this arbitrage opportunity?