Saturday, March 15, 2008

Thesis: Extracting Implied Probabilities from Options on Futures and OneNote2007

Currently working on a dissertation. Started out wanting to do a paper on regional Tobin Q, ended up with another, more interesting idea: extracting implied probabilities from options on futures on Fed Fund rates.

Its been done before in the US, but my supervisor suggested I try doing the same for Australia instead.

The idea's pretty straightforward, but reading up on the math isn't. As I move along I'll blog about the entire process more. Its pretty much work in progress.

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