Math in finance or vice versa

Archive for July 2011

Exponential Ornstein-Uhlenbeck process and USD/CHF

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In the previous post USD/CHF is considered to follow a mean-reverting process. Let’s look at the dynamics of the process during the days of year 2010.

Calibration procedure

Calibration is simple: get logs of prices and calibrate against classic Ornstein-Uhlenbeck process as it is described here.
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Written by fxpaul

July 25, 2011 at 14:19

Posted in trading math

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