tag:blogger.com,1999:blog-19649274.post1131839280002806893..comments2024-03-29T12:03:50.891+05:30Comments on The Leap Blog: Postcard from the edgeAjay Shahhttp://www.blogger.com/profile/03835842741008200034noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-19649274.post-49871940998600668412010-05-07T18:04:25.358+05:302010-05-07T18:04:25.358+05:30In my opinion, interest rates can be much better m...In my opinion, interest rates can be much better modelled as mean reverting than equities. And of course add it with the apparent transparency of the interest rate discovery to the entire process, I am glad that this is happening.investment solutionshttp://www.uniconindia.in/noreply@blogger.comtag:blogger.com,1999:blog-19649274.post-23586630565444169102009-09-01T02:38:55.388+05:302009-09-01T02:38:55.388+05:30Soham:
Q: Why do you need interest rate futures ...Soham: <br /><br />Q: Why do you need interest rate futures to test the validity of mean reverting interest rate models?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-19649274.post-5844377308410729002009-08-29T20:14:36.437+05:302009-08-29T20:14:36.437+05:30Sir, it was great to read your post. Here someone ...Sir, it was great to read your post. Here someone has written a similar interesting stuff about this. Read it at your leisure:<br />http://strat.in/2009/08/interest-rate-futures-connected-to-full-currency-convertibility/#more-2258Kaushikhttps://www.blogger.com/profile/12765762237240301653noreply@blogger.comtag:blogger.com,1999:blog-19649274.post-85178180972849822492009-08-26T20:22:51.635+05:302009-08-26T20:22:51.635+05:30Its a good shot(news). But, i guess the timing is ...Its a good shot(news). But, i guess the timing is not right. With borrowing program lined ahead, RBI must be sweating. Market is already concerned about central bank's ability to handle it.<br />“the year 2009-10 will be a difficult year than 2008-09.”- Mr D Subbarao at IGIDR, feb'09.<br />With IRF coming he will be the most concerned.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-19649274.post-7433186152575903422009-08-26T19:44:09.647+05:302009-08-26T19:44:09.647+05:30"There isn't much of a yield curve to spe..."There isn't much of a yield curve to speak of, there is no yield curve arbitrage, etc. So a one-factor model -- parallel shifts of the yield curve -- captures the bulk of the action."<br /><br />My Comments: This seems to imply that in developed markets where "yield curve arbitrage" (assuming this is the name you give to trades - which have risk - that seek to exploit rich/cheap sectors on the curve) happens, the bulk of the action is not captured by parallel shifts. <br /><br />You might want to revisit this line of thought. Please look at this classic by Litterman and Scheinkman. <br /><br />http://www.princeton.edu/~joses/pp/Common_F.pdf<br /><br />I am not against progress. Yet it should be well reasoned and thoughtful. <br /><br />Importantly, the institutional infrastructure has to support that progress. For example, you can introduce cars meant for the autobahn in India. But you know what the result would be given the current state of Indian roads.<br /><br />The first buidling block for the derivatives market is a well functioning term cash market. India does not even have reliable term money benchmarks. That is the place to start.Econlogichttps://www.blogger.com/profile/04798447625726133342noreply@blogger.comtag:blogger.com,1999:blog-19649274.post-76805522360654645872009-08-26T11:58:26.503+05:302009-08-26T11:58:26.503+05:30I am so very elated that finally interest rate fut...I am so very elated that finally interest rate futures will be traded in the markets. I dont really know,the product specifications, but I am elated nonetheless, because its gonna give a chance for me to test the validity of some of the mean reverting models discussed in academic literature. <br /><br />In my opinion, interest rates can be much better modelled as mean reverting than equities. And of course add it with the apparent transparency of the interest rate discovery to the entire process, I am glad that this is happening. <br /><br />Soham<br />P.S: You get comments with personal attacks or uses foul language??? Come on, did you bash SRK or Aamir in any one of the blog posts? :D These trollers, they absolutely love making a nuisance!Soham Dashttp://jumpup.wordpress.comnoreply@blogger.com