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Are there any structural reasons for choosing constant forward … 5 Nov 2023 · instantaneous forward rates might be non continuous in rate curve points forward rates are not constant between nodes For both of these facts I struggle to prove exactly why …
Clarification on Instantaneous vs Terminal Correlation in … 25 Mar 2025 · $\begingroup$ Thanks @KT8 for your explanation. I wonder if the concepts of instantaneous versus terminal parameters can be generalized beyond correlation to include …
What is the significance of Relative Risk Aversion Relative risk aversion has an intuitive economic explanation, and through a toy example, we can shed some light on its mysterious looking formula.
yield curve - What does instantaneous forward mean? 5 Dec 2018 · So in a sense, the instantaneous forward rate describes the slope/derivative of the spot curve at one specific time point. Or you can think of the forward rate as an average of the …
Difference HJM Framework versus Short rate model 19 Apr 2022 · Stack Exchange Network. Stack Exchange network consists of 183 Q&A communities including Stack Overflow, the largest, most trusted online community for …
What is the difference between volatility and variance? 15 Feb 2015 · If you take e.g. a standard Brownian motion and an Ornstein-Uhlenbeck (aka Vasicek) process, they both have the same (constant) instantaneous volatility. But their …
Estimate swap rates correlation in absence of spread options 12 Nov 2024 · I tried how that could work but I don't find it obvious, on top of handling instantaneous quantities as opposed to what I want to get to (meaning terminal correlation …
Correlation of a lognormal asset and a normal asset 23 Jun 2016 · $\begingroup$ Seems to me like you are mixing instantaneous correlation (i.e. the linear correlation between the Brownian motions driving 2 stochastic processes) and terminal …
implied volatility - Why use instantaneous forward rates ... 10 Jun 2024 · Instantaneous forward rates and for that matter continuously compounded zero coupon rates are usually used for modelling simplicity. ATM rates don't really exist for rates …
Instantaneous correlation in the 2 factor Hull White model 5 Aug 2020 · I'm trying to understand which parameter controls the instantaneous correlation in the 2 F HW model. As in, correlation b/w 2 rates observed at the same time. My thinking is as …