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Martingales and Numeraires

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

Abstract

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.

Keywords

Probability Measure Market Price Internal Model Sharpe Ratio Martingale Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Hans-Peter Deutsch 2009

Authors and Affiliations

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

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