# Solution__Fin_mrk___3_banks - +()(, \$() .()()\$+(+\$).(+2...

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❽➂❹\$➀➃❽( ➃❹➂❽➂➃➂❶+( (,➆❽.❹➆(❼➂ ➃❽( ➛❶\$+❼❽(+\$ ❝.❽(❽+❹➆❽2 ❸➀\$2#❹❿➂➀ ➆❽*➂ +➄-❸ ➁❽❹➅➂ ➃➂❺-3.64679#❹❿➂➀ ❞❷❻7 ❽#*❽❹❹8 +➄7#➈ :#❹➂: ➁❽❽:➈#* ➁❽+➄7#➈0.92911:❹➄+➀❹ ❞❷❻7 ❽➄➂#❶ +#7➂ :#❹➂: ❽#*❽❹❹8 +➄7#➈3.37268+#7➂ :#❹➂: ➁❽❽:➈#* ➁❽+➄7#➈❤❸➀*➄: ❷*❽❿ ➃❿ ➁7❹ ❞=❶7#❼❽-#7➀ :❹➄➂❷❺❸ ➃7❿ 8❽ ➁7❸ ❷❻7 ❽➄➂#❶❝ ❸(❹2.S(FF/SFbuy) = 3.64679; S(SF/DMbuy) = 0.92911; S(FF/DMsell) = 3.37268 =>=> S(DM/FFbuy) = 1/3.37268 = 0.296500Hence the buy chain is equal to 3.64679*0.92911*0.296500 = 1.00462 > 1, whichindicates an arbitrage opportunity. To capture it, you sell SF1 for FF3.64679, you sellthose for 3.64679*0.296500 = DM1.08127, and finally you sell those for 1.08127*0.92911= SF1.00462. Your arbitrage profit is 1.00462 – 1 = SF 0.00462. ❸➀\$2➀8 ❸#❽❿➂➀❹ ❸❽➄+➀ ➃❽➈❽➀❻❸ ❽#➆8 :➆❽-+ ➀➆ ❾➀8 ➃❼➄❼+❸ ❽➀7#8❽❸ +➄-- ❽7#❻7 ❸:7❸8❹➆ ❹➄❽7 ❾➀8 +➄-➀ ➅❻❽- ❷7➂ ➀❹❷❶❸ ❽➂❹7➀ +➄-8 ➆❷❹❽ ❸:7 ❽➀7#8❽❸ ❻❑8❸ :➂❹➆➀ ➁❽➄❹8❸ :❹➆-❼➂❸❝ ➁❹❽❸➀ -❑❸#7 #7➀❹❷ #❽❻➂ :7 ➆-+ 7❹❸8❹ ◗❸8❹➆ ➃❿ 7❹❸ :❹7❽*➂-❘ ❽➄❽➈❸ +#➂- +❧8❜❛❞❸❽➄+ ❻❑8❜

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