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I am looking for help to derive this formula from Brigo & Mercurio

Ok my bad, So I have $1+\delta L(0,T1,T2)=\frac{P(0,T1)}{P(0,T2)} \tag{1}$ and $\frac{dL(0,T1,T2)}{L(0,T1,T2)}=v_2dWt $ that gives $L(0,T1,T2)P(0,T2)=\frac{1}{\delta}(P(0,T1)-P(0,T2)) \tag{2}$ which ...
JohnGalt's user avatar
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Calibrating CIR to bond prices Section "Bond Pricing". Has to be solved numerically; this is as far as you can get.
achirikhin's user avatar
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Expectation of average, conditional on terminal value

My attempt at an answer (as I've said in the comments, I'm quite rusty... any corrections are appreciated) We have $S_0 > 0$, and since we know $S_T$ we know $\sigma \sqrt{T-t}W_T = b$ for some $b \...
Rylan's user avatar
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