开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

LHY · 2020年10月05日

问一道题:NO.PZ2016070201000071

问题如下:

Regarding the validity of time-dependent drift models, which of the following statements is(are) correct?

i. Time-dependent drift models are flexible since volatility from period to period can change. However, volatility must be an increasing function of short-term rate volatilities.

ii. Time-dependent volatility functions are useful for pricing interest rate caps and floors.

选项:

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释:

Time-dependent volatility models are very flexible and can incorporate increasing, decreasing, and constant short-term rate volatilities between periods. This flexibility is useful for valuing interest rate caps and floors because there is a potential payout each period, so the flexibility of changing interest rates is more appropriate than applying a constant volatility model.

这对应的是哪一个知识点?在ppt哪里?

1 个答案

品职答疑小助手雍 · 2020年10月06日

嗨,爱思考的PZer你好:


这里主要讲的是理解,而不是说固定对应哪个章节了,知识点肯定对应的是第六章那个计算term structure的部分。

frm有些题确实需要通过字面上的描述去结合知识思考出结果,具体的知识点有些能对应到,有些要通过知识点反应的原理来对应,比如这题:

I说它挺flexible的,但是短期波动的假设只能是增长的(错),因为它很flexible,可以定波动减小的假设。

II,对,因为有caps或者floors的话每期的交割金额是要像期权一样计算的(超过cap和或者低于floor的概率之类的)。这种情况下,time-dependent假设每期的波动率不一样,就会对每期的cap和floor的发生概率和payment有不一样的评估。这样比constant volitility假设的每期波动率一样要更灵活。


-------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!