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Quantitative Finance · Glosarium

Apa itu Numeraire, money-market account?

Dikenal juga sebagai: numeraire · money-market account

Definition 5.3 Quantitative Methods · Bab 5 — Girsanov and Changes of Numeraire

A numeraire N\mathcal N is the price process of a traded asset (or self-financing portfolio) that is strictly positive at all times; values expressed in units of it are Vt/NtV_t/\mathcal N_t. The money-market account is the numeraire Bt=exp⁡∫0trs dsB_t = \exp\int_0^tr_s\,ds that rolls overnight at the short rate rtr_t.

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