Denoting the FRA rate F(t; Ti−1, Ti) as Fi(t), use question 1 to demonstrate that Fi(t) is a martingale in the Ti forward measure, defined by:

Using the expression for the price of a bond expiring at Tj in terms of one expiring at Ti and the intervening forward rates Fk for i

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Xt/P(t,T) = ET, [XT|Ft]