ravishankar80
New Member
Hi David,
I may have missed out on lognormal and jump-diffusions but I wanted to understand the difference and when they are applied.
-For foreign exchange rates in major currency we use lognormal and for emerging currency jump-diffusions.
-Interest rates in developing economies: normal (low rates) or lognormal distribution (high rates)
-Equities: lognormal (high liquidity) or jump-diffusion (low liquidity)
What determines usage of lognormal,normal and jump-diffusion ? I see a very brief explanation of lognormal as it is not a part of the AIM
Thanks
Ravi
I may have missed out on lognormal and jump-diffusions but I wanted to understand the difference and when they are applied.
-For foreign exchange rates in major currency we use lognormal and for emerging currency jump-diffusions.
-Interest rates in developing economies: normal (low rates) or lognormal distribution (high rates)
-Equities: lognormal (high liquidity) or jump-diffusion (low liquidity)
What determines usage of lognormal,normal and jump-diffusion ? I see a very brief explanation of lognormal as it is not a part of the AIM
Thanks
Ravi