Timeline for Change of numeraire between T-forward and Bank Account
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 8, 2018 at 9:53 | comment | added | Quantuple | Dear @Ant, not sure I understand. Usually switching numéraires is a mathematical trick to obtain results in a simpler, less hand wavy, form. That being said, by definition, any numéraire should make the value of any self-financing strategy (when expressed in that numéraire) a martingale. Not sure I was clear either :) | |
| Oct 8, 2018 at 9:35 | comment | added | Ant | Dear @Quantuple, I personally liked the paper you offered in the answer I linked to. Could you please suggest how to choose numeraire in general case? In case of Interest Rate products numeraire is usually ZC bond price, but when we have collateral, or some option is a combination of some underlying priced in foreign currency we choose different numeraires.. Is there any hint how do we find which numeraire makes a process in expectation a martingale? Hopefully you understood what I mean :) | |
| Oct 8, 2018 at 9:13 | vote | accept | Ant | ||
| Oct 8, 2018 at 7:37 | history | answered | Quantuple | CC BY-SA 4.0 |