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！

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.

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。

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。

FRM考试的内容就分享这么多，考生如果对FRM考试还有更多的疑问，可以文章评论一起学习探讨！另外，有2022年全年备考日历，想要的私信或者评论哦！