10 ENGLISH BOOKS RELATING TO «NUMERAIRE»
Discover the use of
numeraire in the following bibliographical selection. Books relating to
numeraire and brief extracts from same to provide context of its use in English literature.
1
Stochastic Finance: A
Numeraire Approach
Classroom-tested at Columbia University to graduate students, Wall Street professionals, and aspiring quants, this text provides a deep understanding of derivative contracts.
2
Modeling Derivatives in C++
1.7 CHANCE CF NUMERAIRE Geman et al. (1995) introduced the concept of a
numeraire, which is defined as any positive non-dividend-paying asset. A
numeraire N is identifiable with a self-financing strategy (1) E {(AT, Ni), 0 S t S T}
in that ...
3
Advanced Financial Modelling
We survey the literature on the numeraire portfolio, explain its relation to various
other concepts in financial mathematics and present two applications in
insurance mathematics and portfolio optimization. Key words. Numeraire portfolio
, value ...
Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer, 2009
4
Interest Rates and Coupon Bonds in Quantum Finance
For comparison, the money market numeraire is also analyzed. The forward
numeraire is similar to the money market numeraire for which, from Eq. (3.4), all
zero coupon bonds are martingales; namely B(t,T)= E[e− ∫ t∗tdtr(t)B(t∗,T) ] The
price ...
5
Mathematical Models of Financial Derivatives
A numeraire defines the units in which security prices are measured. For
example, if the traded security S is used as the numeraire, then the price of other
securities Sj ,j = 1,2,···,n, relative to the numeraire S is given by Sj/S. Be cautious
that we ...
6
Léon Walras: Walrasian economics
of a numeraire, and what the relationship of that numeraire is to what may
properly be called "money." I suspect, that is to say, that those who have insisted
that "the" theory of general economic equilibrium is based upon barter
assumptions ...
John Cunningham Wood, 1993
which the marginal social value of the numeraire is falling over time. If we take
commodity / as the numeraire, then the shadow discount rate simply becomes It
is clear from equation (3.20) that the choice of numeraire will affect the shadow ...
P. Richard G. Layard, Richard Layard, Stephen Glaister, 1994
8
Arbitrage Theory in Continuous Time
The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications.
9
Stochastic Methods in Finance: Lectures given at the ...
Change of a Numeraire A judicious choice of a numeraire asset is well known to
be a very efficient tool in arbitrage pricing of derivative securities of various kinds
(see, for instance, Geman et al. (1995)). Until now, we have invariably used the ...
10
Quantitative Analysis in Financial Markets: Collected Papers ...
Here Bnum(t) is the numeraire, which can be either the spot Libor numeraire B(t)
or any of the zero-coupon bonds Bi(t), or the forward swap rate numeraire BniN(t)
. In the special case of the pure discount bond, we get: Thus the numeraire ...
10 NEWS ITEMS WHICH INCLUDE THE TERM «NUMERAIRE»
Find out what the national and international press are talking about and how the term
numeraire is used in the context of the following news items.
For a new financial order, look east
A scheme of clearing account for settlement for payments among BRICS members which avoids the use of any currency as a numeraire is a ... «Hindu Business Line, Jul 15»
Making sense of the real exchange rate of the rupee
... as one rupee in terms of a numeraire (SDR) and one unit of select countries' currencies also expressed in terms the same numeraire (SDR). «Business Standard, Jun 15»
Your October 2014 flash crash, charted
The only numeraire which makes it look like a very big move is if you decide to scale everything by a rolling standard deviation with a relatively ... «FT Alphaville, Apr 15»
RBA medicine should be taken in smaller doses
But the usual 25 basis-point numeraire becomes problematic in a low-rate environment, as its non-divisibility results in a loss of some of the ... «The Australian Financial Review, Apr 15»
Losing Yemen
... to suggest that the puzzle arises from the lack of any apparent numeraire, which is a fancy economic word for some means of keeping score. «PJ Media, Mar 15»
Coinapult Investigating $43000 Bitcoin Hot Wallet Compromise
Coinapult is operated by Numeraire Ltd., and offers Bitcoin merchant services, payment processing services, and serves as a web wallet as ... «newsBTC, Mar 15»
Coinapult investigating hot wallet compromise resulting in $43k loss
Coinapult, operated by Numeraire Ltd., runs Bitcoin merchant services, payment processing, as well as a web wallet. The website has been ... «SiliconANGLE, Mar 15»
John and Maynard's Excellent Adventure
Say that there are three goods, X, Y, and Z. Choose Z as the numeraire – the good in which prices are measured. Then we have the price of X ... «New York Times, Mar 15»
A Reader's Suggestion for DEEP VALUE COURSE: Tons Of …
Go to www.numeraire.com and read all of the links at the top. In the search site map section click on the article about why screening is not ... «ValueWalk, Feb 15»
Gauging The Efficiency of Quadratic Voting
... class of costly voting rules under which individuals can purchase any continuous number of votes they wish using a quasi-linear numeraire. «ValueWalk, Jan 15»
