Martingale representation theorem - PowerPoint PPT Presentation

Interest Rate Models

Interest Rate Models. 報告者：鄭傑仁. 3.4 Models for the Risk-Free Rate of Interest. 3.4.1 Time Homogeneity 3.4.2 Calculation of Bond Prices 3.4.3 Derivative Price. 3.4.1 Time Homogeneity.

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9. Change of Numeraire

9. Change of Numeraire. 鄭凱允. 9.1 Introduction. A numeraire is the unit of account in which other assets are denominated and change the numeraire by changing to the currency of a country.

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5.3 Martingale Representation Theorem

5.3 Martingale Representation Theorem. 報告者：顏妤芳. 5.3.1 Martingale Representation with One Brownian Motion. Corollary 5.3.2 is not a trivial consequence of the Martingale Representation Theorem , Theorem 5.3.1, with replacing W(t)

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