The Art of Term Structure Models: Volatility and Distribution
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Über den Vortrag
Der Vortrag „The Art of Term Structure Models: Volatility and Distribution“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Market Risks“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Short term Interest Models
- Effectiveness of time Dependent Models
- Cox Ingersoll Ross Model & Lognormal Models
- Volatility in CIR & Lognormal models
- Normal vs CIR vs Lognormal Distributions
- Lognormal Distribution with Drift
- Black Karazinski Model
Dozent des Vortrages The Art of Term Structure Models: Volatility and Distribution
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
http://www.edupristine.com
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Auszüge aus dem Begleitmaterial
... reverting drift but with constant volatility. During macroeconomic downturns volatility increases suddenly and homoscedastic models calibrated under normal market conditions fail. To incorporate varying volatility, we assume volatility to be time dependent as well dr = (t)dt ...
... decay rate in this model is same as the mean reversion rate in Vasicek model and rest all parameters being the same, the terminal distributions using both these models will be the same. In case the time dependent drift in this distribution is same as average interest rate ...
... must depend on the current rates. Volatility levels will be high when interest rates are very high since we expect large changes when prevailing market interest rates are high whereas we expect low volatility levels when prevailing markets rats are low. As interest rates approach zero, volatility will sharply ...
... Distributions Terminal distribution of the short rate. Lognormal & CIR terminal distributions are right ...
... short rate to be time dependent. Very flexible since allows time dependent volatility and mean reversion, d(ln(r)) = k(t)[ ln(?(t)) – ln(r )]dt +?(t) dw. Natural log of short term rate ...
... mean reversion adjustment. ...
