Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
Printable PDF file
I. Basic math.
II. Pricing and Hedging.
1. Basics of derivative pricing I.
2. Change of numeraire.
A. Definition of change of numeraire.
B. Useful calculation.
C. Transformation of SDE based on change of measure results.
D. Transformation of SDE in two asset situation.
E. Transformation of SDE based on term matching.
F. Invariant representation for drift modification.
G. Transformation of SDE based on delta hedging.
H. Example. Change of numeraire in Black-Scholes economy.
I. Other ways to look at change of numeraire.
3. Basics of derivative pricing II.
4. Market model.
5. Currency Exchange.
6. Credit risk.
7. Incomplete markets.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Change of numeraire.


stock may be regarded as a risky asset expressed in units of the money market account. The money market may be considered riskless. Alternatively, we may consider the money market account as a risky asset expressed in units of the stock. Under such point of view the stock would be riskless. This argument may be applied to other assets.

The reference for this section is [Mercurio] .




A. Definition of change of numeraire.
B. Useful calculation.
C. Transformation of SDE based on change of measure results.
D. Transformation of SDE in two asset situation.
E. Transformation of SDE based on term matching.
F. Invariant representation for drift modification.
G. Transformation of SDE based on delta hedging.
H. Example. Change of numeraire in Black-Scholes economy.
I. Other ways to look at change of numeraire.

Notation. Index. Contents.


















Copyright 2007