On the structure of Gaussian pricing models and Gaussian Markov functional models
Abstract: This article investigates the structure of Gaussian pricing models (that is, models in which future returns are normally distributed). Although much is already known about such models, this article differs in that it is based on a formulation of the theory of derivative pricing in which numeraire invariance is manifest, extending earlier work on this subject. The focus on symmetry properties leads to a deeper insight in the structure of these models. The central idea is the construction of the most general class of derived Gaussian tradables given a set of underlying tradables which are themselves Gaussian. These derived tradables are called "generalized power tradables" and they correspond to portfolios in which the fraction of total value invested in each asset is a deterministic function of time. Applying this theory to Gaussian HJM models, the new tradables give an explicit description of the interdependence of bonds implicit in such models. Given this structure, a simple condi
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 7 (2007) 5 ; 487-496
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2007
- Creator
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Neumann, C.D.D
- DOI
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10.1080/14697680601146838
- URN
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urn:nbn:de:0168-ssoar-220962
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:28 AM CEST
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Neumann, C.D.D
Time of origin
- 2007
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