Friday afternoon junior derivatives trader interview question: AUDJPY 3-month implied volatility is trading at 16; EURAUD 3-month IV is 14; EURJPY is 15. What is the 3-month implied correlation between AUDJPY and EURAUD? If you like pictures, draw one to help with intuition.https://twitter.com/bennpeifert/status/1264542177574584320 …
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Thank you for explaining it clearly. I was a little flabbergasted with denominator currencies.
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damnit seeing your answer makes me realize i answered the wrong question. seriously every single time i attempt to answer i end up with some really embarrassing error. i dont even speak french!
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The French answer to the question is: “Trivial”.
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is that wolfram’s book in the background?
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Yes, I use it as a monitor stand.
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Can I have a job as a junior trader now?
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is qvr anon-friendly
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nice handwriting
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stupid question, are you assuming EURJPY is the sum of EURAUD and AUDJPY, then applying sum of variance for correlated random variables?
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EURJPY is the product of EURAUD and AUDJPY so the log return of EURJPY is the sum of log returns of EURAUD and AUDJPY, and I then apply the formula for variance of the sum of RVs.
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