a [b-r J dt to dalt) For DE drzarat at where {Z(t); is a standard Brownian motion. 1 For t 0 and o are fixed parameters and Z is a standard Brownian motion under the proposed real-world measure P. Under the same measure P, a (zero coupon) bond with maturity Thas price at time -o (Ter B(r,, 1, T) = exp(-(T-1); +0?(1-1)'/6). (a) Derive the SDE satisfied by B(r,,1, T). [05] - Bir,tit )= e (b) Determine the market price of risk and deduce the corresponding SDE for r, under the risk neutral measure Q. [15] CD so I must solve for " V/31 ret) first The sub into SPE You are using the Vasicek one-factor interest-rate model with the short-rate process" calibrated as dr, = 0.6[b-r,]di + odZ, B+ = ert+3 0 4 6 602 + 30 )4 2