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Hi,
I have two questions concerning Hull-White model from the book "Interest Rate Models" by D.Brigo, F.Mercurio.
1) I am trying to obtain the dynamics of HW model under the T-Forward measure and conclude to the last formula on p.75 but with no result. I am trying to do so using Girsanov Theorem but I do not conclude to this formula. I am aware that in the book the writers use their own method for changing the numeraire but I guess that it can be done similarly using Girsanov. Correct?
2) I am trying to understand why the second equality holds on p.73. Moreover, is there any formula we use for the market instantaneous forward rate?
Any help will be very much appreciated.
Thanks
I have two questions concerning Hull-White model from the book "Interest Rate Models" by D.Brigo, F.Mercurio.
1) I am trying to obtain the dynamics of HW model under the T-Forward measure and conclude to the last formula on p.75 but with no result. I am trying to do so using Girsanov Theorem but I do not conclude to this formula. I am aware that in the book the writers use their own method for changing the numeraire but I guess that it can be done similarly using Girsanov. Correct?
2) I am trying to understand why the second equality holds on p.73. Moreover, is there any formula we use for the market instantaneous forward rate?
Any help will be very much appreciated.
Thanks
