The Science of Term Structure Models是FRM二級(jí)考試中的重要內(nèi)容，考生在備考中一定要對(duì)相關(guān)的內(nèi)容提前了解，這樣對(duì)于自己日后的備考也是很有幫助的！今天，小編為大家介紹一下The Science of Term Structure Models中考生能學(xué)到什么？希望對(duì)備考的你有做幫助！》》》2021年新版FRM一二級(jí)內(nèi)部資料免 費(fèi)領(lǐng)??！【精華版】

After completing this reading, you should be able to:

? Calculate the expected discounted value of a zero-coupon security using a binomial tree.

? Construct and apply an arbitrage argument to price a call option on a zero-coupon security using replicating portfolios.

? Define risk-neutral pricing and apply it to option pricing.

? Distinguish between true and risk-neutral probabilities and apply this difference to interest rate drift.

? Explain how the principles of arbitrage pricing of derivatives on fixed income securities can be extended over multiple periods. 》》》點(diǎn)我咨詢21年FRM備考技巧

? Define option-adjusted spread (OAS) and apply it to security pricing.

? Describe the rationale behind the use of recombining trees in option pricing.

? Calculate the value of a constant maturity Treasury swap, given an interest rate tree and the risk-neutral probabilities.

? Evaluate the advantages and disadvantages of reducing the size of the time steps on the pricing of derivativeson fixed-income securities.

? Evaluate the appropriateness of the Black-Scholes-Merton model when valuing derivatives on fixed income securities.

譯文：完成閱讀后，您應(yīng)該能夠：

?使用二叉樹(shù)計(jì)算零息票證券的預(yù)期貼現(xiàn)價(jià)值。

?構(gòu)造并應(yīng)用套利論據(jù)，使用復(fù)制投資組合對(duì)零息票證券的看漲期權(quán)定價(jià)。

?定義風(fēng)險(xiǎn)中性定價(jià)并將其應(yīng)用于期權(quán)定價(jià)。

?區(qū)分真實(shí)概率和風(fēng)險(xiǎn)中性概率，并將此差異應(yīng)用于利率漂移。

?解釋如何將固定收益證券衍生品的套利定價(jià)原則擴(kuò)展到多個(gè)時(shí)期。

?定義期權(quán)調(diào)整價(jià)差（OAS）并將其應(yīng)用于證券定價(jià)。

?描述在期權(quán)定價(jià)中使用重組樹(shù)的基本原理。【資料下載】點(diǎn)擊下載FRM二級(jí)思維導(dǎo)圖PDF版

?在給定利率樹(shù)和風(fēng)險(xiǎn)中性概率的情況下，計(jì)算固定期限國(guó)債掉期的價(jià)值。

?評(píng)估減少固定收益證券衍生品定價(jià)時(shí)間步長(zhǎng)的利弊。

?評(píng)估布萊克-斯科爾斯-默頓模型在固定收益證券衍生品估值時(shí)的適當(dāng)性。

希望以上的內(nèi)容對(duì)你有所幫助！如果您想了解更多FRM考試相關(guān)問(wèn)題，添加融躍FRM老師微信（rongyuejiaoyu），給您專業(yè)的指導(dǎo)幫助！