en     ru     jp
 
 
private banking
private banking
private banking
private banking
private banking
private banking
private banking
     
 
Home
      
Knowledge Base
      
Equity Derivatives and Structured Products Glossary
      
Mean reversion
       
 
Back

Mean reversion

 Search definitions     
  Search  

Mean reversion
The phenomenon by which Interest rates and Volatility appear to move back to a Long-run average level. Interest rates’ mean-reverting tendency is one explanation for the behaviour of the term structure of Volatility. Some Interest rate models incorporate mean reversion, such as Vasicek and Cox-Ingersoll-Ross, in which High Interest rates tend to go down and Low ones up.
Posted by  Privatebanking.com
 
  Back  
  Print  
  Email  

 

private banking
Get Adobe Flash Player to view the media
FlashPlayer required to view the media
private banking
private banking
private banking
private banking
private banking

 
Home News Library Newsletters Event Calendar Advertise About Contact FAQ
Privacy Policy     Terms of Service
 

©