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Aldo Shumway

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forward-rate

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Questions (9)

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5	Martingale measure result application for interest rates under T-forward measure?
3	Equality under T-forward measure for convexity adjustment
2	Convexity adjustment when payment if after interest natural term?
2	How to calculate the product of forward rates with different reset times using Ito's lemma?
1	Hull Martingales and measures problem 27.16 7e?

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0	Brownian motion

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0 forward-rate × 6	0 interest-rates × 3
0 risk-neutral-measure × 6	0 libor × 2
0 numerairechange × 5	0 convexity × 2
0 martingale × 5	0 valuation × 2
0 option-pricing × 4	0 market

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Quantitative Finance

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