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Discounted wealth equation in discrete time

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Arbitrage Self-financing portfolio
Created 2026-10-03 Updated 2026-10-06  0 By others on same topic  0 Discussions Create my own version
Relative to a positive numéraire, a predictable self-financing strategy with risky holdings θt​ and discounted risky prices Xt​ has discounted value
Vt​=V0​+∑s=1t​θs​⋅(Xs​−Xs−1​).
(1)
Thus its gains are the discrete stochastic integral of its holdings against discounted price increments.

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  • Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 35 / 3 / c / iii / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 44 / 3 / a / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2018 / ii / Paper 3 / 29K / c / i / Solution

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