𝒜𝒩𝒥𝒜 安雅🎃 · 2023年10月07日

D选项是V model，那算不算是CIR model?

1. FRM II
2. Market Risk Measurement And Management

 05:51 (2X) 

D: incorporate drift into the model following the assumption that rates revert to the long-run equilibrium value.

李老师说D选项是V model，那算不算是CIR model呢? CIR model里也有mean reverting的趋势项。