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4791数理金融中等数值题short

Infer HJM Volatility From Forward Drift 1

题目

In a one-factor HJM setup with maturity gap tau=T-t=2, the desk observes an instantaneous forward drift alpha(t,T)=0.045 and assumes the volatility is constant across the bucket. Using alpha=sigma^2*tau, what sigma is implied?

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