# Questions tagged [numeraire]

Numeraire is a unit of account in which all other assets in a given model are denominated. Most importantly, one can borrow and lend at the Numeraire rate.

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### Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria?

Based on the Fundamental Theorem of Asset Pricing, the risk neutral price of a contingent claim on an asset in a liquid, arbitrage free market can be determined by switching to an equivalent $Q-$ ...
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### Change of numeraire between t1-forward mesure and t2-forward mesure

Let denote $\mathbb{Q}_{t_1}$ the $t_1$-forward mesure associated to zero coupon bond $B(.,t_1)$. Let denote $\mathbb{Q}_{t_2}$ the $t_2$-forward mesure associated to zero coupon bond $B(.,t_2)$. I am ...
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### How to determine exchange rate dynamics in currency derivatives

I need some guidance regarding exchange rate dynamics in currency derivatives. Following three dynamics are defined below, $\frac{dS(t)}{S(t)}=\alpha dt+\sigma dW(t)$ ; the stock dynamics in the ...
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### In a multi-curve context which numéraire is used to change to the payment probability of a forward asset X paid at time T?

Should it be the coupon associated to the funding curve of the asset? Thanks.
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### Hull Martingales and measures problem 27.16 7e?

Here's a question from Hull's Options Futures and Other derivatives which I'd appreciate if someone helped me to clarify. The question is from the chapter "Martingales and Measures" Suppose that the ...
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### Monte Carlo methods: Choosing the best measure

When pricing derivatives using Monte Carlo methods, we take outset in the risk neutral pricing formula which states that we need to calculate the expected value of the discounted cashflows. To do this,...
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### Money account discounted libor rate is it a martingale under risk neutral measure?

I see that Libor $L(t,S,T)$ is a martingale under $T-$forward measure. Where we used argument that zero-coupon bonds are martingales under $T$-forward measure, as zero-coupon bond is a traded security....
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### Calculate the amount of shares of a deposit without converting to numeraire

Let F a mutual fund with two assets A and B. Initially, F contains 1 unit of A, 1 unit of B, and there is 1 share allocated to Alice. At a later time, Bob deposits 2 units of A into F. How can I ...
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### Stock Price as Numeraire, Two Stocks & One Money Market Account

We have two uncorrelated Stock price processes and the classical Money-Market (MM) account. Under the MM Numeraire, both stocks are Martingales when discounted by the MM, as usual. Question: I would ...
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