What's new

Search results

  1. I

    Evolution of short term interest rates (Construction of Tree in case of upward sloping curve)

    I have a question related to the evolution of short term interest rates, in case of upward sloping curve i.e. r0,1 is 10% and E(r1,2) is 12% and E(r2,3) is 14% and volatility around the expectation of interest rates is 200bps. How would you construct the tree, what would be the values at t=1 for...
  2. I

    relative and absolute var

    thanks for your reply. I am a new joiner and still learning how to use different tools/options on the BT website.
  3. I


    Why we assume mean is zero in the volatility formula in QT Intro Review slide 51? Thks.
  4. I

    relative and absolute var

    Hi David What is the difference between relative and absolute VAR? Regards