Answer the below questions. (a) Explain the drift property found in an interest-rate model. (b) Explain the

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Answer the below questions.
(a) Explain the drift property found in an interest-rate model.
(b) Explain the volatility property found in an interest-rate model.
(c) Explain the mean reversion property found in an interest-rate model.

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:39 AM

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Answer the below questions. (a) Explain the drift property found in an interest-rate model. (b) Explain the

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a The drift term refers to that variable in an interest rate model that captures the expected direction of the change in the interest rate eg a shortt...View the full answer

Bond Markets Analysis and Strategies

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