2 mins read
Simulating Interest rates using CIR and HJM While we can […]
4 mins read
Here is a slightly revised model for calculating the change in price of an equity security. We now add one more component to our generator function. While the first term works off expected return the second term will help us model uncertainty. Since in our world we drive and link uncertainly with volatility, our model also uses a factor proportional to volatility.