American option renders the early excercise feature. However, it is never optimal to early exercise an American non-dividend call. Why is this? This report explains in detail. You may be asked during an interview about model-independent parities. Put-Call parity (Proved by no-arbitrage argument) is very useful in deriving price related inequalities.
Vasicek model, a mean-reverting process, is widely used to describe the evolution of interest rate. It is very likely you will be asked such question like what is the mean and variance of a RV governed by Vasicek model? if you apply for fixed income position. It is worth mentioning a very good reference covering various interest rate models: "Yield Curve Estimation and Prediction with the Vasicek Model," by D. Bayazit, Middle East Technical University.
The Single Factor Model forms the basis for the credit risk approach of the second Basel Capital Accord. The economic capital is based on VaR which is at the 99.9% confidence level with a one year time horizon. I made a separate copy from the course notes to address the basics.