river_rat
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Dax 30 Portfolio optimisation
1 votes

The problem being convex depends on the structure of the quadratic constraints in this case, particularly if the quadratic part is positive semi-definite. So you need to write out the constraints in ...

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Ito's lemma for a Forward
1 votes

Your equation looks ok. If interest rates are deterministic then forwards (being the same as futures) are driftless under the risk neutral measure. Otherwise, Forwards are driftless (i.e. martingales) ...

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Dollar basis calculation. Where do I miss the point?
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1 votes

Basis is almost always calculated on the non-usd leg - which explains why your signs are the wrong way around.

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How do market makers chose the size that they quote?
1 votes

The minimum size can be enforced on the market maker by the exchange or regulator. For example, some bond markets demand that market makers show a minimum size and spread for a certain period of the ...

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Should Cross-Currency Basis Swaps exchanging risk free rates trade flat?
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Simple answer is that risk free in one currency does not mean risk free for all accounting currencies i.e estr in eur with eur as the accounting / pnl currency being approximately risk free does not ...

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Is “at the money” referent to the spot or forward price?
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For straddles ATM usually implies 0 delta. In general, ATM is determined by the market conventions in question.

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Revealed liquidity in latent limit order book
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Regarding unseen liquidity the easiest example would be iceberg order types. So only some percentage of the total interest of the order is visible but depending on the exchange and their priority ...

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