Francesca DAnconia, a fixed income quantitative analyst, is a part of a team creating a report on methods for modeling the evolution of short term interest rates DAnconia makes the following statements in a team meeting Statement 1 An advantage of the Ho Lee model over both the Cox Ingersoll Ross and Vasicek models is the smaller number of required parameter estimates required to implement the model Statement 2 The Cox Ingersoll Ross model allows interest rates to be mean reverting, but the Vasicek model does not allow for mean reversion DAnconia is most likely A) correct with respect to statement 2 only B) correct with respect to statement 1 only C) correct with respect to both statements D) incorrect with respect to both statements

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Posted on Oct 03, 2024

Francesca DAnconia, a fixed income quantitative analyst, is a part of a team creating a report on methods for modeling the evolution of short-term interest

Francesca DAnconia, a fixed income quantitative analyst, is a part of a team creating a report on methods for modeling the evolution of short-term interest rates. DAnconia makes the following statements in a team meeting:

Statement #1:	An advantage of the Ho-Lee model over both the Cox-Ingersoll-Ross and Vasicek models is the smaller number of required parameter estimates required to implement the model.
Statement #2:	The Cox-Ingersoll-Ross model allows interest rates to be mean-reverting, but the Vasicek model does not allow for mean-reversion.

DAnconia is most likely:

A) correct with respect to statement 2 only.

B) correct with respect to statement 1 only.

C) correct with respect to both statements.

D) incorrect with respect to both statements.