Girsanov, Numeraires, and All That

ISBN-13: 9781009339285 / Angielski / Miękka / 2022 / 75 str.

City University of New Yor Andew (Bernard M. Baruch College

Opis

In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing.

Spis treści

1. Introduction; 2. Girsanov's theorem; 3. Arbitrage asset pricing in a nutshell; 4. Riskless bond numeraires and associated EMMs; 5. Change of numeraire in interest rate and FX models; 6. Incomplete markets.