Suppose that the price of a zero-coupon bond maturing at time T follows the process
and the price of a derivative dependent on the bond follows the process
Assume only one source of uncertainty and that f provides no income.
(a) What is the forward price F of f for a contract maturing at time T?
(b) What is the process followed by F in a world that is forward risk neutral with respect to P(t , T)?
(c) What is the process followed by F in the traditional risk-neutral world?
(d) What is the process followed by f in a world that is forward risk neutral with respect to a bond maturing at time T* , where T* ≠ T? Assume that 
is the volatility of this bond.