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！

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.

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。

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。

FRM考試的內(nèi)容就分享這么多，考生如果對(duì)FRM考試還有更多的疑問(wèn)，可以文章評(píng)論一起學(xué)習(xí)探討！另外，有2022年全年備考日歷，想要的私信或者評(píng)論哦！