Exercise . (HJM with USV) Let the risk-neutral forward rate dynamics be given by df T t
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Exercise . (HJM with USV) Let the risk-neutral forward rate dynamics be given by df T t = ˆα (t, T, vt) dt + √vte
−κ[T−t] dzQ
t , ≤ t ≤ T, where dvt = μv(vt) dt + σv(vt) dzQ
t
, and z Q
and z Q
are independent standard Brownian motions under Q.
(a) Show that
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