Numeraire

[kdmfe]

Dear experts,

I am trying to understand Stochastic calculus with the help of another PhD math student. Hence it is more or less self-study.

I am keen to develop my understanding on Numeraire topic, how it is constructed and the various types of Numeraire.

Can I request anyone in the forum to suggest me a book or an article in the public domain which can help develop my understanding.

Thank you

 

[Qui-Gon]

Shreve 2 Ch. 9 should be a good place to start.

 

[kdmfe]

Hi Qui-Gon,

Thank you for your comment.

I did go through the chapter 9

I think, I have written all the theorems pertaining to this chapter from Steven Shreve's book, Chapter 9. I am struggling to write proofs for a few question from end of chapter questions.

But my struggle is that my understanding of pros cons methods and background on this topic has not developed much. HEnce this post.

Kindly suggest any alternative, which discusses this topic.

Stochastic Finance: A Numeraire Approach (Chapman and Hall/CRC Financial Mathematics Series)​

while checking on google, the above book was shown.

ANy specific feedback from anyone about this book?

Thank you

Kindly help/guide

 

[Qui-Gon]

The CRC financial math series has some great books. I haven’t read the one you have listed, but I’m sure that it is worth checking out.