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Note that Bjork says the fundamental theorem of integral calculus. ki3i proves it rigorously, but we can also guess based on analogy with integral calculus specifically the general form of the Leibniz …
answered May 31 '18 by BCLC
1
vote
1answer
Given forward rate f(t,T) and bond price P(t,T) where $f(t,T) = - \frac{\partial}{\partial T} \ln P(t,T)$, $P(T,T) = 1 = P(t,t)$, T>0 and $t \in [0,T]$ Does it follow that $P(t,T) = exp(-\int_{t} …
asked Feb 21 '15 by BCLC
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ki3i: A less heuristic proof is the following. Define the function $Y(t,T,\mathcal{P})$ such that, for each partition $\mathcal{P}$ (of size $n$) of the interval $[t,T]$, we have $$ Y(t,T,\mathcal{P …
answered Dec 13 '15 by BCLC
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The negative solution does not satisfy $P(T,T)=P(t,t)=1$
answered Feb 23 '15 by BCLC
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2answers
Question 1: How does one come up with the equation in the red box below? It looks like some kind product rule, but I'm not sure how to apply Ito's lemma here. Bjork doesn't seem to explain it ful …
asked Feb 23 '15 by BCLC