Lecture 04Brigo & Mercurio Sections 2.3.1–2.6.1
Forward Measures
Completing the numeraire-change toolkit: drift corrections, diffusion-coefficient notation, convenient numeraires, the T-forward measure, and fundamental pricing formulas.
Lecture Video
Text Coverage
Brigo & Mercurio Sections 2.3.1–2.6.1
Brigo & Mercurio, Interest Rate Models, 2nd ed.