It can be shown that in a one-factor model where the bond price volatility v(t, T, £2,) is a function only of t and T, the process for r is Markov if and only if v(t, T) has the form x(t)[y(T) - y(t)].

Use equations (24.8) and (24.9) to show that when v(t, T) has this form the process for r is Markov.