Using probability for barrier placement
REAL-LIFE PROBLEMS, INNOVATIVE SOLUTIONS
BACKGROUND: Even though the FX market may well follow a random walk, there are a number of methodologies that can assist us in our assessment of volatility. We can then use these to build our hedging and trading strategies based on a quantitative approach, looking at implied, historical and actual volatilities plus advanced Arch-Garch techniques and their multiple variants. This article utilises historical volatilities and looks at the magnitude of past currency moves to assess the likelihood of
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