Stochastic Differential Equations

Stochastic Differential Equations - 29 To construct the...

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Unformatted text preview: 29 To construct the forward rate process evolution, from expression (15.15) we get ( ) ( ) ( ) ( ) ( ) ( ) = + + + = + = = + + = + = = + + d t s t s if t s ; T , t e t s ; j , t T t j cosh t s ; j , t T t j cosh t s ; T , t f u t s t s if t s ; T , t e t s ; j , t T t j cosh t s ; j , t T t j cosh t s ; T , t f t s ; T ,...
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This note was uploaded on 10/31/2010 for the course NBA 5550 at Cornell University (Engineering School).

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Stochastic Differential Equations - 29 To construct the...

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