The Art of Term Structure Models: Volatility and Distribution (FRM Part 2 – Book 1 – Chapter 14) скачать в хорошем качестве

The Art of Term Structure Models: Volatility and Distribution (FRM Part 2 – Book 1 – Chapter 14)

Build intuition for the Art of Term Structure Models: Volatility and Distribution (FRM Part 2 – Book 1 – Ch. 14). In this lesson we review constant-volatility short-rate models, then introduce time-dependent volatility, mean reversion, and the Cox-Ingersoll-Ross (CIR) framework. We compare basis-point vs lognormal volatility, construct interest-rate trees, and link models to pricing caplets and floorlets. Perfect for FRM candidates who want clear, exam-ready explanations and examples. What you’ll learn: Short-term rate process with time-dependent volatility CIR vs Vasicek; mean reversion and no-negative-rates feature Basis-point vs lognormal models; Black-Karasinski overview Building and using interest-rate trees for derivatives pricing For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite... AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams After completing this reading you should be able to: 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. Describe the short-term rate process under the Cox-Ingersoll-Ross (CIR) and lognormal models. Calculate the short-term rate change and describe the basis point volatility using the CIR and lognormal models. Describe lognormal models with deterministic drift and mean reversion. #FRM #GARP #RiskManagement #TermStructure #Volatility #QuantFinance #CIR #Vasicek #InterestRates #AnalystPrep