The Art of Term Structure Models: Volatility and Distribution (FRM Part 2 - Book 1 - Chapter 14)
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- Опубликовано: 28 июл 2024
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After completing this reading you should be able to:
- Describe the short-term rate process under a model with
time-dependent volatility.
- Calculate the short-term rate change and determine the behavior of the
standard deviation of the rate change using a model with time
dependent volatility.
- Assess the efficacy of time-dependent volatility models.
- Describe the short-term rate process under the Cox-Ingersoll-Ross
(CIR) and lognormal models.
- Calculate the short-term rate change and describe the basis point
volatility using the CIR and lognormal models.
- Describe lognormal models with deterministic drift and mean reversion.
I wonder why you dont divide annual vol by 12 ( table at 17:55) is that any reason? i hv seen on your other videos you did it
What is “a” in the model 4?