Skip to main content
2 votes
Accepted

Competitive quote convention for FX swaps

For an FX swap the sensitivity of the PV of a transaction has small exposure to the spot FX rate, which is often mitigated by transactions conventions. The dominant risk quantity to which you are ...
Attack68's user avatar
  • 10.7k
2 votes
Accepted

Skewness Equivalent to Additivity of Variance

Update: I think i misunderstood your question, so let me add another answer as well. Answer A will derive a formula for forward skewness, answer B will show the general property of skewness as a ...
Kermittfrog's user avatar
  • 6,737
1 vote

Skewness Equivalent to Additivity of Variance

$Y=log(S2/S1)=X2-X1$. $E(Y+X1)^3=skew(Y)+k1=k2$, so $skew(Y)=k2-k1.$ If we assume same skew for all $log (S_k/S_{k-1})$ then skew grows linearly with time, just as variance. If you can describe what ...
Arshdeep's user avatar
  • 2,451

Only top scored, non community-wiki answers of a minimum length are eligible