Using N simulations plot a histogram of the simulated interest rates in year T under each of the short rate models. Can you comment on the difference?
(a) Construct two quantitative problem in the spirit of Q1 and Q2 in last year’s exam. – Usually, Q1 is a tree problem with 3-5 sub-problems. This can relate to an existing derivative, or one you invent as long as the problems are solvable with the methods we have learnt. – Usually, Q2 is a […]