And what effects would a high rate of inflation have on a currency?

<t>I am ad idem with DaveAngel & Maringhoul;There are proxy measures for Liquidity eg bid / ask spread as % of price, volume traded & number of trades (1 m trades of 1 contract is 'better' than 1 trade of a million contracts), but to try to quantify the RISK of liquidity drying up would be a...

continuous rate = ln(1+simple rate)

http://www.bbalibor.com/rates/historical

<t>T4A, I agree with most of your sentiments, however;through the ages populations / society are complacent during periods of plenty, and civil unrest manifests during the periods of famine / recession / depression. A tried and tested method of avoiding civil unrest is to be threatened by an 'enemy'...

War is the classic manifestation of the Keynesian remedy for depression. Govt spending on the war effort reduces unemployment, offers a boost to capacity utilisation, gets spending going again.

, we get a risk-free portfolio that therefore must earn the risk-free rate. That is the point exactly. A risk free portfolio does not earn zero, but the risk free rate of return (supposedly comprised of elements of the liquidity preference theory, prevailing rate of inflation etc etc)

<t>Margined premium is typical for options on futures, eg Euribor, Sterling 3m, Bund,Bobl, Schatz etc.When purchasing an option, you are not required to pay the premium immediately or t+1, but the option position is 'margined' much like a normal futures position. Youo will need to post an initial ma...

<t>If you are trading Margined options on Index Futures, then yes, you should be using the Black (76) model. You should not require a risk free rate. The clearing house (usually) pays interest on cash margin balances, or you can lodge approved assets (typically sovereign bonds) that are interest ear...

QuoteOriginally posted by: FinBeeHow can we price options on index futures. I think we should take Black model instead of Black Scholes model for pricing of these contracts. The term ln(F/K) becomes zero for these contracts.Could you please explain why / how the term ln(F/K) = 0?

<t>If you were planning to buy the 90 Put, Sell the 110 Call and buy the underlying stock, anticipating a rally to 110 and being called, ie selling your stock when the 110 call is exercised against you, then maybe just consider buting the 90 / 110 call spread? Same payoff & exposure, without tra...

<t>Your option contract gives you the right to sell the underlying shares at the strike price to whoever sold the option - the exchange if exchange traded, or the investment bank if OTC. Your contractual relationship via the option is with the option Grantor, so you should not really bother if the c...

<r>Dominique Strauss-Kahn Was Tying to Torpedo the Dollar Whoever wants to nail IMF chief Dominique Strauss-Kahn has really pulled out all the stops. Their agents have been rummaging through diaries, hotel registries, phone records, yearbooks, yada, yada, yada. The UK Telegraph even paid a visit to ...

<t>Intuitively it would have to be cheaper than plain vanilla that is trade-able as you are foregoing the ability / liquidity of potentially realising a vega or delta profit.If you are wanting to get pedantic, one could start asking if the underlying is liquid and tradeable - ie can one perform dyna...

<t>Few markets consistently exhibit a nice symmetrical smile.The generalised rule of thumb is:Equity Index markets : Put Skew or -ve Vol skew => Otm Puts > ATM > OTM Calls ie a hockey stick shape with vol on low delta calls starting to riseBonds, Commodities & Vix : Call Skew or +ve Vol Skew => ...