If an interest rate model with the following $P$-dynamics for the short rate.
Now consider a $T$-claim of the form $\chi = \Phi(r(T))$ with corresponding price process $Π(t)$.
Can anyone help me to find stochastic differential of $Π(t)$ ?
and show that the normalized price process
is a $Q$-martingale.?
I appreciate any help.