This is a summary of links featured on Quantocracy on Wednesday, 12/01/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Volatilities and Correlations of Cross Rates, a Geometrical Understanding [Quant Dare]In this post we will show how the properties of a triangle can be used to intuitively obtain insights about the volatilities and correlations of currency pairs. Once the dominant branch of mathematics, geometry plays now a secondary role. However, its graphical arguments still seem to be better suited for our brains, as they are often easier to understand and to remember. This is the path followed