deterministic-drift

  1. David Harper CFA FRM

    P2.T5.23.5 Cox-Ingersoll-Ross (CIR) model

    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...
    • David Harper CFA FRM
    • Thread
    • basis-point-volatility cox-ingersoll-ross deterministic-drift lognormal-models mean-reversion short-term-rate time-dependent-volatility
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    • Forum: FRM® Practice Questions
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