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In this text (Damir Filipovic, Term-Structure Models, Springer, 2009) $P(t,T)$ denotes the price of a zero-coupon bond at time $t$ with maturity $T$. I cannot see where the proof uses the deterministic assumption. I know this result does not hold in general - but where does the argument fail if the world is not deterministic?

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    $\begingroup$ Where in the Wall Street Journal dated day 't' do they publish the prices of bonds as of a later date $T$. On what page ;) ? Those prices are not known in a non-deterministic world. $\endgroup$
    – nbbo2
    Sep 12 at 9:50
  • $\begingroup$ Ah, that is true - they don't! $\endgroup$
    – Landscape
    Sep 12 at 10:47
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    $\begingroup$ In that case the unknown (stochastic) prices in these equations might be replaced by their Expectation. I.e. we would have to put $E[\cdots|t]$ around them to have a meaningful equation. $\endgroup$
    – nbbo2
    Sep 13 at 12:44

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