1. Nicole Seaman

    P2.T5.23.4 Vasicek term structure model

    Learning objectives: Construct and describe the effectiveness of a short-term interest rate tree assuming normally distributed rates, both with and without drift. Calculate the short-term rate change and standard deviation of the rate change using a model with normally distributed rates and no...
  2. David Harper CFA FRM

    P2.T5.23.2. Multi-period interest rate trees

    Learning objectives: Explain how the principles of arbitrage pricing of derivatives on fixed-income securities can be extended over multiple periods. Define option-adjusted spread (OAS) and apply it to security pricing. Describe the rationale behind the use of recombining trees in option...