numeraire，英語單詞，主要用作名詞，作名詞時譯為“（法）貨幣兌換率計價標準”。
這是一個不可實現的甚至不可構想的會計體系，一些經濟學家相信理想的貨幣就應當是這樣的記賬體系（numeraire）。如果這能夠被稱為貨幣，它就是中立貨幣。但是我們不能忘記，均衡狀態是純粹假設的，這個概念不過是我們的思維的工具。由於不能做實驗，社會科學被迫打造這樣的工具。但是我們使用它們的時候要非常小心。我們...
1.4.6 Change of a Numeraire 1.4.7 Put Option 1.5 Forward Contracts 1.5.1 Forward Price 1.6 Futures Call and Put Options 1.6.1 Futures Contracts and Futures Prices 1.6.2 One-period Futures Market 1.6.3 Martingale Measure for a Futures Market 1.6.4 Absence of Arbitrage 1.6.5 ...
二、價格基準(Numeraire)選擇 第六節 CGE模型的求解 第七節 CGE模型敏感性分析 第四章 標準靜態CGE模型—LHR模型 第一節 LHR模型的基本結構 一、生產活動和要素市場 二、商品市場和國際貿易 三、經濟主體的行為與最終需求 四、巨觀均衡與閉合規則 第二節 LHR模型數學描述 一、價格模組 二、生產和貿易模組 ...
2.2 The Change-of-Numeraire Technique 2.3 A Change of Numeraire Toolkit(Brigo & Mercurio 2001c)2.3.1 A helpful notation: "DC"2.4 The Choice of a Convenient Numeraire 2.5 The Forward Measure 2.6 The Fundamental Pricing Formulas 2.6.1 The Pricing of Caps and Floors 2.7 Pricing ...
1.2.3 Change of Numeraire 1.2.4 The Market Price of Risk 2 Generating Random Numbers and Random Variables 2.1 Random Number Generation 2.1.1 General Considerations 2.1.2 Linear Congruential Generators 2.1.3 Implementation of Linear Congruential Generators 2.1.4 Lattice Structure 2.1.5 ...
11.5 Change of Numeraire 11.6 Currency （FX） Options 11.7 Asian, Lookback and Barrier Options 11.8 Exercises 12 Applications in Finance： Bonds, Rates and Option 12.1 Bonds and the Yield Curve 12.2 Models Adapted to Brownian Motion 12.3 Models Based on the Spot Rate 12.4 Merton’s...
11 The No-Arbitrage Property under a Change of Numeraire （1995）11.1 Introduction 11.2 Basic Theorems 11.3 Duality Relation 11.4 Hedging and Change of Numraire 12 The Existence of Absolutely Continuous Local Martingale Measures （1995）12.1 Introduction 12.2 The Predictable Radon-Nikodym ...
2.1.3 Change of Numeraire Theorem 2.1.4 Girsanov's Theorem and It6's Lemma 2.1.5 Application: Black-Scholes Model 2.1.6 Application: Foreign-Exchange Options 2.2 Numerical Methods 2.2.1 Derivation of Black-Scholes Partial Differential Equation 2.2.2 Feynman-Kac Formula 2.2.3 ...
11.5 Change of Numeraire 11.6 Currency (FX) Options 11.7 Asian, Lookback, and Barrier Options 11.8 Exercises 12.Applications in Finance: Bonds, Rates, and Options 12.1 Bonds and the Yield Curve 12.2 Models Adapted to Brownian Motion 12.3 Models Based on the Spot Rate 12.4 Merton's...
models 181 6.3 Multiple stock models 183 6.4 Numeraires 189 6.5 Foreign currency interest-rate models 193 6.6 Arbitrage-free complete models 196Appendices A1 Further reading 201 A2 Notation 205 A3 Answers to exercises 209 A4 Glossary of technical terms 216 Index 228 ...
Prices and Equivalent Martingale Measures A Arbitrage B Numeraire Invariance C State Prices and Doubling Strategies D Expected Rates of Return ……7 Term-Structure Models 8 Derivative Pricing 9 Portfolio and Consumption Choice 10 Equilibrium 11 Comrporate Securities 12 Numerical Methods APPENDIXES ...
