(a) What is the second partial derivative of P(t,T) with respect to r in the Vasicek and...
Question:
(a) What is the second partial derivative of P(t,T) with respect to r in the Vasicek and CIR models?
(b) In Section 31.2, D̂ is presented as an alternative to the standard duration measure D. What is a similar alternative Ĉ to the convexity measure in Section 4.11?
(c) What is Ĉ for P(t, T)? How would you calculate Ĉ for a coupon-bearing bond?
(d) Give a Taylor Series expansion for ΔP(t, T) in terms of Δr and (Δr)2 for Vasicek and CIR.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
a b A corresponding definition for is c When Q P ...View the full answer
Answered By
Jonas Araujo
I have recently received the degree of PhD. In Physics by the Universidade Federal do Maranhão after spending a term in Durham University, as I have been awarded a scholarship from a Brazilian mobility program. During my PhD. I have performed research mainly in Theoretical Physics and published works in distinguished Journals (check my ORCID: https://orcid.org/0000-0002-4324-1184).
During my BSc. I have been awarded a scholarship to study for a year in the University of Evansville, where I have worked in detection-analysis of photon correlations in the the Photonics Laboratory. There I was a tutor in Electromagnetism, Classical Mechanics and Calculus for most of that year (2012).
I am very dedicated, honest and a fast learner, but most of all, I value a job well done.
1+ Reviews
10+ Question Solved
Related Book For 
Question Posted:
