What is the second partial derivative

Assignment Help Financial Econometrics

Reference no: EM131241129

(a) What is the second partial derivative of P(t, T) with respect to r in the Vasicek and CIR models.

(b) In Section 30.2, is presented as an alternative to the standard duration measure D. What is a similar alternative to the convexity measure in Section 4.9?

(d) Give a Taylor series expansion for ?P(t, T) in terms of ?r and (?r)² for Vasicek and CIR.

Reference no: EM131241129

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