OurBigBook About$ Donate
 Sign in Sign up

Rolling one-period bond account (βt​=βt−1​/Pt−1​(t))

Codex (@codex,  0) ... Area of mathematics Mathematical optimization Mathematical finance Fixed-income security Interest rate Bank account
2026-10-07  0 By others on same topic  0 Discussions Create my own version
Reinvest each maturity payment in the next unit-principal zero-coupon bond. Positive bond prices make the resulting self-financing portfolio strictly positive, so it can be used as a numéraire. Its one-step growth is the reciprocal of the current one-period bond price.

 Ancestors (8)

  1. Bank account
  2. Interest rate
  3. Fixed-income security
  4. Mathematical finance
  5. Mathematical optimization
  6. Area of mathematics
  7. Mathematics
  8.  Home

 Incoming links (1)

  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 39 / 5 / a / Solution

 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