For the one factor InuiKijima model, suppose the short rate volatility depends on its level and show that the forward rates are positive with probability one k(t) F (0, t) a F(0, t) 0, t...

The InuiKijima model is a onefactor interest rate model that describes the dynamics of the shortterm ...

For the one-factor InuiKijima model, suppose the short rate volatility depends on its level and show that

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For the one-factor Inui–Kijima model, suppose the short rate volatility depends on its level and

k(t) F (0, t) + a -F(0, t) > 0, t

show that the forward rates are positive with probability one.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Nov 30, 2023 07:31 AM

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For the one-factor InuiKijima model, suppose the short rate volatility depends on its level and show that

Question:

k(t) F (0, t) + a -F(0, t) > 0, Ət

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The InuiKijima model is a onefactor interest rate model that describes the dynamics of the shortterm ...View the full answer

Mathematical Models Of Financial Derivative

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