Nicolae Santean

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The Hitchhiker's Guide to the Risk-Neutral Galaxy

Number of pages: 97 Posted: 30 Apr 2019 Last Revised: 30 Mar 2020
Nicolae Santean
affiliation not provided to SSRN
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Abstract:

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probability spaces, filtrations, Brownian motion, Ito's formula, Doleans-Dade exponential, Girsanov theorem, change of measure, quanto adjustment, Arrow-Debrew securities, risk-neutral probability, Cameron-Martin-Girsanov theorem, change of numeraire, T-forward measure