Darragh Kelly
Ton up Member
Hi,
For Part (a) of the question, I'm able to derieve all parts of the SDE except for the df/d(T-t) term. When doing this I let T-t = tau so I have f(x,tau) = exp(-tau*x + sigma^3*tau^3/6). When I differenciate wrt to tau I get -x+sigma^2*tau*f(x,tau) = -rt+sigma^2*(T-t)*B(t,T). In examiners report I think they have rt-igma^2*(T-t)*B(t,T) when they differenicate, so my signs are opposite to the solution. The rest of my SDE lines up with report.
Many thanks,
Darragh
For Part (a) of the question, I'm able to derieve all parts of the SDE except for the df/d(T-t) term. When doing this I let T-t = tau so I have f(x,tau) = exp(-tau*x + sigma^3*tau^3/6). When I differenciate wrt to tau I get -x+sigma^2*tau*f(x,tau) = -rt+sigma^2*(T-t)*B(t,T). In examiners report I think they have rt-igma^2*(T-t)*B(t,T) when they differenicate, so my signs are opposite to the solution. The rest of my SDE lines up with report.
Many thanks,
Darragh