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Quantitative Finance
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Aldo Shumway

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risk-neutral-measure

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9 Questions

Votes Activity Newest Views
2
5
votes
1
answer
501
views

Martingale measure result application for interest rates under T-forward measure?

interest-rates risk-neutral-measure martingale forward-rate numerairechange
Dec 18 '17 at 12:39 Antoine Conze 4,633
2
4
votes
1
answer
324
views

Equality under T-forward measure for convexity adjustment

interest-rates risk-neutral-measure martingale forward-rate numerairechange
Dec 23 '17 at 14:08 Antoine Conze 4,633
2
3
votes
1
answer
293
views

Convexity adjustment when payment if after interest natural term?

risk-neutral-measure libor forward-rate convexity numerairechange
Jan 8 '18 at 14:00 Antoine Conze 4,633
1
3
votes
1
answer
848
views

Change of measure between T-forward and T*-forward contract?

risk-neutral-measure martingale libor forward-rate numerairechange
Dec 6 '17 at 10:54 LocalVolatility 5,618
 
2
votes
0
answers
79
views

How to calculate the product of forward rates with different reset times using Ito's lemma?

itos-lemma forward-rate convexity
Nov 28 '17 at 6:14 Aldo Shumway 232
 
1
vote
0
answers
163
views

Hull Martingales and measures problem 27.16 7e?

option-pricing risk-neutral-measure valuation martingale numerairechange
Apr 16 '18 at 5:24 Aldo Shumway 232
 
1
vote
2
answers
279
views

Double knockout binary pricing?

option-pricing valuation binary-options barrier dependence
Feb 12 '18 at 19:02 Gordon 19k
1
1
vote
1
answer
1k
views

Fixing date, start date, end date in interest rate derivative valuation?

option-pricing interest-rates derivatives forward-rate daycounting
Jan 8 '18 at 7:53 Antoine Conze 4,633
 
0
votes
1
answer
269
views

Equivalent Martingale Measure result Hull?

option-pricing risk-neutral-measure martingale market girsanov
Apr 9 '18 at 11:09 Antoine Conze 4,633
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