HJM model, $df(t,T) = \mu(t,T) dt + \xi (t, T)dW(t)$, is defined in risk-neutral measure $\mathbb{Q}$, according to Brigo's "Interest Rate Models" book.

I wonder, how could I transform it to real measure $\mathbb{P}$? Is it mentioned in any book?

  • $\begingroup$ May I ask you why ? I use this kind of model for pricing, so I only bother about Q. Why would you need it under P ? $\endgroup$ – were_cat Jul 9 '14 at 23:36
  • $\begingroup$ @lmorin as an exercise on numeraire change? maybe i'm a bit too curious... ? $\endgroup$ – athos Jul 10 '14 at 2:26

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