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, D is

(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?

(d) Give a Taylor Series expansion for ΔP(t, T) in terms of Δr and (Δr)² for Vasicek and CIR.

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