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5
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Why does the future price dominate the forward price and why doesn't the long rate fall?

There are two questions left about the book Term Structure: A graduate Course by Damir Filipovic, which bother me. The first one is about the Theorem, that the long rate never falls (p. 108). Why is ...
5
votes
1answer
144 views

How to derive the formula of a European Libor call option in a Libor Market Model?

I am struggling with the following two mathematical statements. The first is from the book "Term-structure Models: A Graduate Course - Damir Filipović" Suppose we have a deterministic function ...