For the 2005 Sept-CT8,(question 8i) My answer is df(x,t)=f(x_t,t)((-a'(T-t)-A_t+1/2B_t^2)dt-B_tdZ_t) It's almost the same with the solution given, but mine is -a' instead of a positive one. Why?
Hello Jia Yes, I get a -a' as well. The chain rule applied to differentiating a(T-t) gives (-1)a'(T-t). Looks like a typo to me in the Examiners' Report in copying down from the second line of workings to the third line. Anna
