What does the volatility parameter in an interest rate model represent?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:02 AM

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What does the volatility parameter in an interest rate model represent?

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In an interest rate model the volatility parameter represents the degree of variability or uncertainty in interest rate movements over time Specifically it quantifies the magnitude of fluctuations in ...View the full answer

Introduction To Fixed Income Analytics

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