FRM二级考试中，The Science of Term Structure Models中考生能学到什么？

The Science of Term Structure Models是FRM二级考试中的重要内容，考生在备考中一定要对相关的内容提前了解，这样对于自己日后的备考也是很有帮助的！今天，小编为大家介绍一下The Science of Term Structure Models中考生能学到什么？希望对备考的你有做帮助！》》》2021年新版FRM一二级内部资料免 费领取！【精华版】

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. 》》》点我咨询21年FRM备考技巧

• 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.

译文：完成阅读后，您应该能够：

•使用二叉树计算零息票证券的预期贴现价值。

•构造并应用套利论据，使用复制投资组合对零息票证券的看涨期权定价。

•定义风险中性定价并将其应用于期权定价。

•区分真实概率和风险中性概率，并将此差异应用于利率漂移。

•解释如何将固定收益证券衍生品的套利定价原则扩展到多个时期。

•定义期权调整价差（OAS）并将其应用于证券定价。

•描述在期权定价中使用重组树的基本原理。【资料下载】点击下载FRM二级思维导图PDF版

•在给定利率树和风险中性概率的情况下，计算固定期限国债掉期的价值。

•评估减少固定收益证券衍生品定价时间步长的利弊。

•评估布莱克-斯科尔斯-默顿模型在固定收益证券衍生品估值时的适当性。

希望以上的内容对你有所帮助！如果您想了解更多FRM考试相关问题，添加融跃FRM老师微信（rongyuejiaoyu），给您专业的指导帮助！