Verify that f (t, T) = e (Tt) generates a Markovian model.

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Verify that σ_f(t, T) = σe^−κ(T−t) generates a Markovian model.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 17, 2018 04:21 AM

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Verify that f (t, T) = e (Tt) generates a Markovian model.

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A First Course in Quantitative Finance

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