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Discount factor (Dt​=exp(−∫0t​rs​ds))

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Fixed-income security Interest rate
2026-10-06  0 By others on same topic  0 Discussions Create my own version
A multiplicative factor converting a value into units of a chosen initial account. With the continuous-time bank account B, Dt​=1/Bt​; discounted traded asset prices are martingales under the corresponding equivalent martingale measure.

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  • Call-price density recovery
  • Continuous-time bank account
  • Discounted bond price martingale
  • Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 38 / 3 / a / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 38 / 6 / e / Solution

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