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Sep
19
comment Why would there be a positive risk-free rate?
Your point is another academic anecdote that unfortunately floats around way too often. a) Treasury bills are not risk-free. US Government debt is not even triple A rated anymore. b) I explained that depending on utility certain market participants are not content with generating 2% per annum, no matter the risk incurred. c) leveraging such "investment opportunity" is an urban myth: You assume the interest you pay on a loan to purchase risk-free assets is lower than the yield on such instruments -> certainly not true in most cases. Also, bidding such instruments pushes down yields even further
Sep
19
comment Why would there be a positive risk-free rate?
why models allow for it to be only positive?
Sep
19
revised Why would there be a positive risk-free rate?
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Sep
19
revised Why should we expect geometric Brownian motion to model asset prices?
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Sep
19
revised Why should we expect geometric Brownian motion to model asset prices?
added 40 characters in body
Sep
19
answered Why should we expect geometric Brownian motion to model asset prices?
Sep
19
revised Why would there be a positive risk-free rate?
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Sep
19
answered Why would there be a positive risk-free rate?
Sep
15
comment For which instruments performs SABR/LMM better than LMM?
To my knowledge, most swaptions traders peruse the SABR or extended SABR model.
Sep
12
awarded  Nice Answer
Sep
12
comment Hedging future USD cost using different IR and forwards
What is the exact question? I suppose it is how many euros you need to pay 6 months hence in order to receive USD 2500? That would be 1/1.30 EUR/USD * 2500 USD = EUR 1923.07. No need for anything else. You look to hedge spot fx risk. This provides the hedge. Keep in mind there does not exist one single hedge in the universe of finance that does not expose you to any risk. It all comes down to which risks you specifically do not want to be exposed to and which risks you can accept exposure to.
Sep
12
comment Filtration and measure change
you beat me to it and Exercise 5.5 shows exactly that.
Aug
28
comment What software should I use for forex arbitrage?
What do you want to arbitrage? I suggest it may be a little late to the game (around 5-10 years to be honest) when you could broker arb in the fx world or meaningfully make money from triangular arb. Also, given you are dependent on json feeds which are inherently "slow" you will not benefit from a system architecture that is faster than your weakest link. Please elaborate on your question because it is very unclear what you actually want!
Aug
6
revised Is there a charting API which allows to replicate Bloomberg chart tool features?
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Aug
6
comment How to create charts in WPF finance applications?
@SRKX, I posted a SciChart review based on my extensive testing, quant.stackexchange.com/questions/3158/…
Aug
6
answered Is there a charting API which allows to replicate Bloomberg chart tool features?
Aug
1
comment Looking for Research Paper on Creation of Currency Baskets
@BobJansen, unfortunately not (the paper I came across was a published in 2014, sorry should have mentioned that), but nonetheless thank you for the two links, the first paper I was aware of but unfortunately aims at different objectives (raw material price minimization of variances)
Jul
31
comment Looking for Research Paper on Creation of Currency Baskets
Thanks, I am familiar with the BIS methodology, but I am not looking for trade weighted indices. As mentioned I look for methodologies that exclusively source pricing data and preferably approaches that strip out individual currency strength/weakness
Jul
31
awarded  Curious
Jul
30
revised Looking for Research Paper on Creation of Currency Baskets
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