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Paper / 2021SMQ / 115423630574221
A change of measure formula for recursive conditional expectations
Alessandro Gnoatto / Luca Di Persio / Marco Patacca
jump processes / measure theoryResource overview

A change of measure formula for recursive conditional expectations

Paper2021

by Alessandro Gnoatto, Luca Di Persio, Marco Patacca

Tags
jump processesmeasure theorystochastic calculusstochastic differential equationsstochastic processes

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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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