Difference between revisions of "8.27"
Jump to navigation
Jump to search
(Created page with "The problem reduces to Floyd - Warshall algorithm if you take logs of all currency-exchange rates, as if a * b = c then ln(a) + ln(b) = ln(c). In computational finance people...") |
(No difference)
|
Latest revision as of 14:12, 21 September 2020
The problem reduces to Floyd - Warshall algorithm if you take logs of all currency-exchange rates, as if a * b = c then ln(a) + ln(b) = ln(c).
In computational finance people often use logarithms of prices instead of prices themselves, as it gives faster calculations and makes it easy to apply log-normal distribution instead of normal distribution (log-normal distribution is more appropriate for asset prices).
Back to Chapter 8
