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面猪登🐷💰💄✈️ · 2021年11月02日

Ling run equilibrium 

NO.PZ2018122701000075

问题如下:

An analyst is looking at various models used to incorporate drift into term structure models. The Ho-Lee Model:

选项:

A.

Incorporates no-risk premium to the interest rate model allowing rates to vary according to their volatility.

B.

Incorporates drift as a premium to interest rates that remains constant over time.

C.

Allows for a risk premium to be applied to interest rates that changes over time.

D.

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

解释:

C is correct.

考点 Term Structure Models

解析 The Ho-Lee model incorporates a premium to each rate change that can be different at each point in time.

请问D的那个equilibrium 会体现在现在学的所有model里吗

2 个答案

DD仔_品职助教 · 2023年10月31日

嗨,从没放弃的小努力你好:


是的呢

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努力的时光都是限量版,加油!

DD仔_品职助教 · 2021年11月02日

嗨,爱思考的PZer你好:


没有这个假设的,但是有个类似的,同学可以记一下,V-model体现的是均值复归,如下图:

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

𝒜𝒩𝒥𝒜 安雅🎃 · 2023年10月29日

CIR model和V model都是均值复归的吧?