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### markov property for stochastic differential equation

Here, we assume that \begin{align*} g(t, x) = \mathbb{E}\left(h(X_T) \mid X_t = x \right). \end{align*} Note that, by Shiryaev, $g(t, x)$ is a Borel measurable function such that, for any Borel ...
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### Why Markov Functional Models (Hunt 2000) are not yet so popular?

In context of Bermudan Options, I believe that since the model determines everything exogenously, calibrating to swaptions may give you cases where the implied forward rate is negatively correlated to ...
• 1,662

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