My Math Forum  

Go Back   My Math Forum > Science Forums > Economics

Economics Economics Forum - Financial Mathematics, Econometrics, Operations Research, Mathematical Finance, Computational Finance

LinkBack Thread Tools Display Modes
October 2nd, 2013, 04:51 PM   #1
Joined: Oct 2013

Posts: 1
Thanks: 0

Hull White Model

I need to Prove that dr(t)=(?(t) -?(t)rt)dt+ ?(t)dWt

is equal to rt =e^(-at)(r0 + a(e^at-1) +?(integral from 0 to t)(e^(au)dW(u) using It?'s lemma. Maybe the wiki will help make this understandable.

and help Proof that E[r(r)e^(-at)(r0 + a(e^at-1)
iminluck is offline  

  My Math Forum > Science Forums > Economics

hull, model, white

Search tags for this page
Click on a term to search for related topics.
Thread Tools
Display Modes

Similar Threads
Thread Thread Starter Forum Replies Last Post
Convex Hull Problem Harsha Krishna K Linear Algebra 3 March 26th, 2014 07:18 AM
A box contains 3 white, 8 red, 9 blue r-soy Algebra 3 October 12th, 2013 01:54 PM
Convex hull magyaddello Algebra 0 November 26th, 2010 08:42 AM
white noise/iid jlt1209 Advanced Statistics 0 February 2nd, 2009 06:00 PM
Question on convex hull saipkjai Algebra 0 April 1st, 2008 10:38 PM

Copyright © 2019 My Math Forum. All rights reserved.