Go to http://www.lyx.org

<t>In the HJM model, the short rate is given byr_u = f(0,u) + Integral[0,u]alpha(s,u)ds + Integral[0,u]sigma(s,u)dW_sr_u is then integrated and Fubini is applied to produce:Integral[0,t]r_u du = Integral[0,t]f(0,u)du - Integral[0,t]Integral[s,t]alpha(s,u)duds + Integral[0,t]Integral[s,t]sigma(s,u)du...

<t>I've been playing with this for a couple of days but I can't seem to make the factors balance. Unfortunately, the calculations are extremely tedious so it's sometimes difficult to distinguish a careless error from a conceptual error...A random variable X is a normal N(mu, sigma^2) under measure P...

<t>If you're too busy to learn LaTeX, I strongly recommend LyX. It's a WYSIWYM (What You See is What You MEAN) word processor that provides a very convenient front end to LaTeX.The Official LyX WebsiteIt's free. And it runs on both Unix and Windows. The Windows installation requires the Cygwin libra...

You are correct. I stared at the problem for some time and could not see that step--but it's clear now. Thanks so much.

<t>I'm having some trouble following the development of a discrete model in Baxter & Rennie from Page 41-42 (2002 printing). Any help would be greatly appreciated.Model with constant growth and noise-------------------------------------------------(let & = delta)The model is parameterized by...

<t>I'd like to work out the derivations for the popular term structure models. However, I seem to have overlooked a simple step in Vasicek. I've attached my work--can someone please let me know what I've missed?The evaluation of the stochastic portion using Stratonovich is not yielding the expected ...

I'm not sure if these programs offer online or distance options but if they do not, they may be able to direct you to a credible alternative.Carnegie Mellon Program in Computational FinanceThere is a list of programs at the bottom of the page.Good luck.