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Mathematical Principles and Quantitative Finance · 09. novembre 2023
Financial models use Girsanov's Theorem to shift from real-world probabilities to risk-neutral ones, crucial for derivative pricing. It ensures arbitrage-free models in quantitative finance, adjusting processes like HJM, CIR, and Hull-White to reflect risk-neutral views for fair pricing.
#RiskNeutralProbabilities #GirsanovsTheorem #RadonNikodym