I now heard that Paul Wilmott may have come up with this concept. Any one got any more news?

<t>I've heard some people mention the term "deta" in the context of credit pricing. It was explained to me as a merger of delta and beta. It is supposed to indicate the riskiness of a client portfolio in the context of market variables such as FX or interest rates. In other words the client specific...

<t>That is exactly what I would be interested to find some research on. I am not worried about short term changes. What I would like to prove is that if you simulated an FX rate using a lognormal process you would not describe it as well as using some kind of a mean reverting process. Anybody out th...

Mencey,thanks, I would really like to see this article. If you can't upload it, where do I find it?

I am looking to prove that FX rates (at least the major currency pairs) are mean reverting. Has anybody got an idea how to best go about it? Did anyone do a similar analysis or knows about an article or research paper about the subject? Or do people disagree with this assumption?Thanks!!