Lecture 2021-2: Appl. Math. Fin./Computational Finance 2 (18): Discrete Forward Rate Term Struct (3)
Channel: finmath
Date: 17/12/2021

Lecture 2021-2: Applied Mathematical Finance / Computational Finance 2: Session 18: Discrete Forward Rate Term-Structure Models (3)

- Derivation of the Drift under Spot Measure
- Comparing the Drift under Terminal and Spot Measure
- Drift under T_k - Forward Measure
- The Short Period Bond ((T_{m(t)+1}; t)