Use a similar approach to that in Problem 30.13 to derive the relationship between the futures rate
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Use a similar approach to that in Problem 30.13 to derive the relationship between the futures rate and the forward rate for the Hull-White model. Use the relationship to verify the expression for \(\theta(t)\) given for the Hull-White model in equation (30.14).
Data from Problem 30.13
Use a change of numeraire argument to show that the relationship between the futures rate and forward rate for the Ho-Lee model. Use the relationship to verify the expression for \(\theta(t)\) given for the Ho-Lee model in equation (30.11).
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