NO.2023100703000086

NO.PZ2023100703000086 问题如下 JaMFRM, is stuing fferenmol, inclung mean-reverting mols, no-ift mols, mols thincorporate ift, anHo-Lee mols. Ma makes the following statements about the appropriate usage of these mols: Statement 1: Both Mol 1 (no ift) anthe Vasicek mol assume non-parallel shifts from changes in the short-term rate. Statement 2: The Vasicek mol implies creasing volatility in short-term rates while Mol 1 assumes constant volatility of future short-term rates. Statement 3: The Mol 2 (constant ift mol) is a more flexible mol ththe Ho-Lee mol.How many of the statements is/are incorrect? A.0 B.1 C.2 3 The Vasicek mol es imply non-parallel shifts. However, the no-ift mol implies parallel shifts. Hence, this statement is incorrect.The Vasicek mol ineassumes a mean-reverting process. the no-ift mol assumes constant volatility. This statement is correct.The Ho-Lee mol is a single-factor interest rate mol thincorporates a time-pennt ift, making it a more flexible mol compareto a constant ift mol. This statement is incorrect. “The V mol implies creasing volatility in short-term rates while Mol 1 assumes constant volatility of future short-term rates.” 我当时觉得这个之所以错，是因为课件里讲的是V mol因为有均值复归的特征，长期来讲波动率变小，但这里说的是短期利率，也就是所有的利率模型，mol 1 2 3 4 CIR V 都是短期利率的路径变化?