Category Archives: Stochastic Log Volatility Model

SLV v RS-DMRP December 2000 5th 95th Percentiles

We show a comparison of the SLV v RS-DMRP December 2000 5th 95th Percentiles.  Click on graph to see enlarged clearer version where writing is distinct. == == Comparison of SLV to RS-DMRP for December 2000 Start Date US Treasury … Continue reading

Posted in Academy of Actuaries SLV Model, Ben Bernanke, Mark Tenney Interest Rate Model, Regime Switching DMRP, RS-DMRP, Stochastic Log Volatility Model, Zero Rate Policy | Leave a comment