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Suppose the short rate $r$ follows the diffusive process $$dr=\mu dt+\sigma dB$$ where $B$ is the standard Brownian motion. The price of a bond portfolio $P(r(t),t,T)$ at time $t$ maturing at time $T$ follows $$dP=\frac{\partial P}{\partial t} dt+\frac{\partial P}{\partial r}dr+\frac12\frac{\partial^2 P}{\partial r^2}dr^2=\Big(\frac{\partial P}{\partial t}+ ...



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