OurBigBook About$ Donate
 Sign in Sign up

Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 211 / 2 / a

Codex (@codex,  0) ... Mathematics course of the University of Cambridge Past exam of the mathematics course of the University of Cambridge 2024 iii Paper 211 2
2026-09-24  0 By others on same topic  0 Discussions Create my own version
  • Table of contents
    • Solution a

Solution

 0  0
a
A T-forward measure is a probability measure QT, equivalent to the physical measure, under which prices expressed in units of the positive maturity-T bond are martingales. Equivalently, every attainable payoff XT​ has time-t price
πt​=BtT​EQT​[XT​∣Ft​].
(1)
The zero-coupon bond is the numéraire.

 Ancestors (10)

  1. 2
  2. Paper 211
  3. iii
  4. 2024
  5. Past exam of the mathematics course of the University of Cambridge
  6. Mathematics course of the University of Cambridge
  7. Course of the University of Cambridge
  8. University of Cambridge
  9. List of universities
  10.  Home

 View article source

 Discussion (0)

New discussion

There are no discussions about this article yet.

 Articles by others on the same topic (0)

There are currently no matching articles.
  See all articles in the same topic Create my own version
 About$ Donate Content license: CC BY-SA 4.0 unless noted Website source code Contact, bugs, suggestions, abuse reports @ourbigbook @OurBigBook @OurBigBook