What is the forward measure? Explain its importance in the pricing of interest rate derivatives.

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What is the “forward” measure? Explain its importance in the pricing of interest rate derivatives.

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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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What is the forward measure? Explain its importance in the pricing of interest rate derivatives.

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In the HJM model and other expositions in the book we have seen that the absence of arbitrage implie...View the full answer

Derivatives Principles And Practice

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