19. Martingale Pricing

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch19

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Martingale Pricing, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch19

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

SEARCH

Keywords:

  • martingale pricing;
  • asset pricing;
  • numeraire;
  • equivalent martingale measure;
  • Girsanov's theorem

Summary

This chapter contains sections titled:

  • Some Preparation

  • Fundamental Theorem of Asset Pricing

  • Implications for Pricing Derivatives

  • Applications

  • Martingale Versus Equilibrium Pricing

  • Numeraires, Short Rates, and Equivalent Martingale Measures

  • Replication and Uniqueness of the EMM

  • Exercises