Which of the following is not a valid property of the Heath-Jarrow-Morton (HJM) interest-rate framework?
A) The model may be calibrated to be consistent with any initial yield curve.
B) The tree version of the model has rates of all remaining maturities at each node of the tree.
C) The model fits volatilities of rates of all maturities.
D) The model is a one-factor model.
Correct Answer:
Verified
Q2: Consider a one-factor HJM model where
Q3: In the LMM,which of the following are
Q4: Consider a one-factor HJM model where
Q5: Consider a one-factor HJM model where
Q6: Consider a two-factor HJM model where
Q7: Consider a one-factor HJM model where
Q8: Swap rates in the SMM are,under the
Q9: The HJM model is implemented by depicting
Q10: Which of the following is not necessarily
Q11: Consider a one-factor HJM model where
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