Explain Girsanov’s Theorem in briefly
Explain Girsanov’s Theorem in briefly.
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First a statement of the Girsanov’s theorem. Assume that Wt be a Brownian motion with measure P and sample space ?. If γt is a pre-visible process satisfying the constraint EP
then there exists an equivalent measure Q on ? therefore
is a Brownian motion.
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Illustrates an example of LIBOR Market Model?
What is marking to market?
Suppose today's settlement price on a CME DM futures contract is $0.6080/DM. You have a short position in one contract. Your margin account presently has a balance of $1,700. The next three days' settlement prices are $0.6066, $0.6073, & $0.5989. Compu
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