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Exercise 4. the T -forward measure Q7 is defined by - dQ? Pr(T)CO exp P(-sor, ds) dQ P.(T)CT Po(T) and ET [:] denotes expectations with
Exercise 4. the T -forward measure Q7 is defined by - dQ? Pr(T)CO exp P(-sor, ds) dQ P.(T)CT Po(T) and ET [:] denotes expectations with respect Q7. Show that L(S,T) = ET (Ls(T)], Hint: Prove that the simply compounded forward rate for any period [S, T) is a QT martingale. Exercise 4. the T -forward measure Q7 is defined by - dQ? Pr(T)CO exp P(-sor, ds) dQ P.(T)CT Po(T) and ET [:] denotes expectations with respect Q7. Show that L(S,T) = ET (Ls(T)], Hint: Prove that the simply compounded forward rate for any period [S, T) is a QT martingale
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