Exercise 26.2.9 Prove that ln 1+n 1+n+1 1 2 ln 2(T t)( t)2 if

Exercise 26.2.9 Prove that

−ln



1+δn 1+δn+1



− 1 2

ln δ→σ2(T −t)(t)2 if we substitute t/t for t and (T −t)/t for n in Eq. (26.5) before applying Eq. (26.4). T, t, t, and σ above are annualized. (The forward rate process hence converges to df (t, T) = σ2(T −t) dt +σ dW.)