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vasicek

  1. S

    Vasicek model recombining tree

    Hi, Can anyone demonstrate an example of how the rates in the Vasicek model tree is calculated? I am looking at Tuckman's chapter 9 study notes on page 57 (see attached). For example, how is the rate at (1,1) of 5.5060% calculated? Thank you
  2. R

    Tuckman Chapter 9 : Term Structure of Volatility

    In "The Art of Term Structure Models : Drift" Tuckman mentions regarding term structure of volatility that: "The term structure of volatility in Model 1 is constant at 113 basis points." He also mentions that the Model 2 and the Ho-Lee, both do not change the term structure of volatility...
  3. Nicole Seaman

    P2.T5.705. Tuckman's term structure models

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  4. J

    GARP.FRM.PQ.P2 Vasicek Model Question

    Hi David, I have a question about the Vasicek Model. I have seen a couple of practice questions come up (not BT questions) where the volatility adjustment is ignored when determine the future rate. For reference let me post some details of the question I just saw today: -mean reversion...
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