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Derive the N - factor Merton ( 1 9 7 3 ) model in the HJM framework. Therefore, derive: the solution for r ( t
Derive the factor Merton model in the HJM framework. Therefore, derive:
the solution for where for iindots, and where is
the covariance matrix for the factor innovations with
being the instantaneous covariance between innovations in factors i and and is the correlation coefficient
between the th and th factors,
the zerocoupon bond price
the instantaneous forward rate
the and terms such that for the iindots, factors. please derive it with full derivation solution. not just with explaination on how to do it thanks
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