Assume the following process for HJM forward rates: Let the current forward curve be given by f(t+h,

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Assume the following process for HJM forward rates:

Let the current forward curve be given by

Finally suppose that f(0, 0) = 0.08 f(0, 0.5) = 0.09 f(0, 1) = 0.10 o(0.5) = 0.03, (1) = 0.02 Derive the

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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Assume the following process for HJM forward rates: Let the current forward curve be given by f(t+h,

Question:

f(t+h, T) = f(t, T)+a(T)ho (T)h

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Derivatives Principles And Practice

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