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Modeling Derivatives in C++ - Strona 35
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 ...
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Advanced Financial Modelling - Strona 303
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
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Interest Rates and Coupon Bonds in Quantum Finance - Strona 205
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 ...
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Léon Walras: Walrasian economics - Strona 40
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
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Stochastic Finance: A Numeraire Approach - Strona 1
The reference asset is also called a numeraire. The numeraire asset should never become worthless so that the price with respect to this asset is well defined. The relationship between prices of an asset expressed with respect to two different ...
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Mathematical Models of Financial Derivatives - Strona 108
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. Becautious that we ...
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Market Risk Analysis, Pricing, Hedging and Trading ... - Strona 144
A change of currency is one way to change the numeraire for that asset or interest rate. A probability measure is defined with respect to a numeraire, which is the unit of measurement or unit of 'account' for the random variable. If we change the ...
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Arbitrage Theory in Continuous Time - Strona 353
We will give several other concrete examples below, but first we will investigate how we change from one choice of numeraire to another, i.e. how we determine the appropriate Girsanov transformation. This will be done in the next section.
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Theoretical Foundations of Law and Economics - Strona 100
Clearly the problem lies in measuring the value of an apple to a person and also using apples as the numeraire. The statement that the apple has the same value to John and to Mary is only a tautologous consequence of the choice of apples ...
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Economic Theory and Economic Thought: Essays in Honour of ...
Obviously this value depends on the choice of numéraire. Not having economic content, this choice cannot be but free. Now, dependence on the numéraire makes it impossible to interpret KK' as a demand curve for capital. Let us be more ...
John Vint, J. Stanley Metcalfe, Heinz D. Kurz, 2010
