5) A zero-coupon (ZC) bond that matures at time T has a price at time t Tgiven by P(r, t) = e-(T-t) where r is the continuous compounded yield-to-maturity. Assuming r follows the process: dr = K (-r)dt + odz

A) Use Ito's lemma to derive the process followed by the percent bond price (dP/P)

B) If x = 0, what is the (instantaneous) expected return when T - t = 10, r = 5%, and sigma = 1%

Please solve all parts, thank you in advance.

= 5) (10 pts) A zero-coupon (ZC) bond that matures at time T has a price at timet