What happens to the standard deviation

Assignment Help Financial Econometrics

Reference no: EM131241178

1. What is the difference between an equilibrium model and a no-arbitrage model?

2. Suppose that the short rate is currently 4% and its standard deviation is 1% per annum. What happens to the standard deviation when the short rate increases to 8% in (a) Vasicek's model; (b) Rendleman and Bartter's model; and (c) the Cox, Ingersoll, and Ross model?

Reference no: EM131241178

Questions Cloud

What is the value of the derivative : The yield curve is flat at 6% with annual compounding and the volatilities of all rates are 16%. Assume perfect correlation between all rates. What is the value of the derivative?

Calculate the expected value and the expected return : Calculate the expected value, the expected return, the variance and the standard deviation of an asset that requires a $1000 investment, but will return $850 half of the time and $1250 the other half of the time.

Show that the algorithm gives 1000001 : It is sometimes possible to reduce the size of the output file at the last stage of the encoding process. Consider encoding b followed by EOF, using the arrangements from Exercise 1.

What was his speed as he left the floor : NFL player Gerald Sensabaugh recorded a 46 inch standing vertical jump at the 2005 NFL Combine, at that time the highest for any NFL player in the history of the Combine. Sensabaugh weighed about 200 lb when he set the record. A) What was his spee..

What happens to the standard deviation : What happens to the standard deviation when the short rate increases to 8% in Vasicek's model; Rendleman and Bartter's model; and the Cox, Ingersoll, and Ross model?

Record the transactions in the sales or general journal : Record the transactions in the sales (page 32) or general journal (page 10), as appropriate. Post to the accounts payable ledger and prepare schedule of accounts payable.

Show that it is not possible to scale the symbol counts : In Exercise 1, show that it is not possible to scale the symbol counts and choose c to satisfy 6.2. However, after expansions, the current interval [L, H) is always wide enough to assign symbols to distinct subintervals.

What are the central theses of the texts at hand : What are the central theses of the texts at hand? What is the main idea of the passage? Note key terms or issues. What quote(s) from the reading capture(s) the main idea.

Distance between crests or compressions of the wave : A sound wave has a frequency of 2009 Hz. What is the distance between crests or compressions of the wave? (Take the speed of sound to be 344 m/s.)

User Account

All Pages