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Jun
16
comment Can Gaussianity of returns depend on the time frame?
@noob2 please be constructive in comments. Rhetorical questions are never as clear as a gentle explanation of your point, and they can be offensive. Thanks
Jun
16
revised Can Gaussianity of returns depend on the time frame?
edited body
Jun
16
comment Can Gaussianity of returns depend on the time frame?
Don't leptokurtic and fat-tailed mean the same thing? Usually, it's better to give paper names rather that advising to go on some search engine and search for a term (although here the term is useful and part of the answer). The second part of your answer would benefit from citations as these are quite important "assertions" (I'm not saying they're wrong).
Jun
16
revised Can Gaussianity of returns depend on the time frame?
removed courtesies, added links
Jun
16
revised How to hedge a put under the Black-Scholes model?
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Jun
16
revised Is there a relation between these two forecasting/estimation approaches?
added 14 characters in body; edited title
Jun
1
accepted How to infer correlation?
May
27
awarded  Notable Question
May
22
comment How to effectively hedge a Fixed-Term deal in a foreign currency?
arf you're right, I was trying to simplify my problem too much. In my case the hedge is in USD, so it's not a perfect hedge. It makes things more complicated...
May
21
asked How to effectively hedge a Fixed-Term deal in a foreign currency?
May
15
awarded  Popular Question
May
12
awarded  Nice Question
May
7
comment How to infer correlation?
I'm sorry Richard, I didn't get your last comment. Were you referring to method 1) by saying "by using MC"?
May
5
comment How to infer correlation?
Since I know nothing about the relation of $F$ and the other assets so how can I know the exact covariance?
May
5
comment How to infer correlation?
But is there any advantage compared to version 1)?
May
5
comment How to infer correlation?
If I assume $\epsilon$ is uncorrelated, then following your equation $ \rho_{F,i} = \frac{Cov(F,r_i)}{\sigma_F \sigma_i} = \beta \frac{ Cov(r_m,r_i)}{\sigma_F \sigma_i}$. Replacing $\beta = \rho_{F,m} \frac{\sigma_F}{\sigma_m}$, you get $ \rho_{F,i} = \rho_{F,m} \frac{ Cov(r_m,r_i)}{ \sigma_m \sigma_i} = \rho_{F,m} \rho_{i,m} $ right?
May
5
revised How to infer correlation?
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May
4
revised How to infer correlation?
added 1 character in body
May
4
asked How to infer correlation?
Apr
27
revised How to simulate stock prices with a Geometric Brownian Motion?
added 105 characters in body