Martingales and Numeraires

  • Hans-Peter Deutsch
Part of the Finance and Capital Markets Series book series (FCMS)


The most important and profound concept that the reader may have gained from the material presented in this book so far is that of risk neutrality, which can be summarized as follows:

Today’s price of a (tradable) financial instrument is equal to the discounted expectation of its future price if this expectation is calculated with respect to the risk-neutral probability measure.


Probability Measure Market Price Internal Model Sharpe Ratio Martingale Measure 
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Copyright information

© Hans-Peter Deutsch 2009

Authors and Affiliations

  • Hans-Peter Deutsch
    • 1
  1. 1.FrankfurtGermany

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