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Girsanov, Numeraires, and All That PDF PDF

9 Pages·2017·English
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by ['Le Hoang Van']| 2017| 9 pages| English

About Girsanov, Numeraires, and All That PDF

The document discusses arbitrage asset pricing theory and the concept of numeraires. It provides the following key points: - Arbitrage pricing theory assumes financial markets are free of arbitrage opportunities. The fundamental theorem states a model is arbitrage-free if there exists an equivalent martingale measure. - A numeraire is any asset with a positive price process that is used as a reference. Changing the numeraire changes the probability measure through Girsanov's theorem. - Common numeraires discussed include the spot numeraire (riskless bond), forward numeraire (zero-coupon bond), and annuity numeraire (forward starting swap). - The change of numeraire

Detailed Information

Author:['Le Hoang Van']
Publication Year:2017
Pages:9
Language:English
Format:PDF
Price:FREE
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