Question: I need help here. In a particular two-state intensity-based model with constant transition intensities, the integrated generator matrix M = A(w)du has the form M=

I need help here.

I need help here. In a particular two-stateI need help here. In a particular two-stateI need help here. In a particular two-stateI need help here. In a particular two-state
In a particular two-state intensity-based model with constant transition intensities, the integrated generator matrix M = A(w)du has the form M= where a = 0.2(1 -s) and b=0.1(1-s). (i) Show that, in this case, M-=-(a+b)M. Hence deduce an explicit formula for e" in terms of a and b. (ii) Hence deduce a set of formulae for the transition probabilities py(s.().For a particular 4-state version of the JLT model: 12 = 121 = 0.1, A23 = 0.2, Any4 =0.1, Agg =0.1, Ay =04, As = 14 = 1,1 =0 Construct the complete generator matrix.Show that the instantaneous forward rate for the Vasicek model can be expressed as: (1-e-er 20 2cr where r= 1-1.Under one particular term structure model: Sketch a graph of /(r, I) as a function of 7, and derive expressions for B(1,7) and R(,T)

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