11. Demonstrate that the forward rate in exercise 10 (b) can be realized by an investor desiring...

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11. Demonstrate that the forward rate in exercise 10

(b) can be realized by an investor desiring to invest $1 million between time 0.5 and 1.5 years, by constructing an appropriate portfolio of long and short zero coupon bonds. Assume that these zeros are trading with the spot rates from 10(a).

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Introduction To Quantitative Finance A Math Tool Kit

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Authors: Robert R. Reitano

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11. Demonstrate that the forward rate in exercise 10 (b) can be realized by an investor desiring...

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Introduction To Quantitative Finance A Math Tool Kit

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