w******g
发帖数: 271 | 1 Hi Big Brothers, hot sisters,
I'm still confused about the change of numeraire technic,
say P and Q are equivalent measures,
then dP/dQ= D , I also checked the Radon-Nikodym theory, could anyone
explain more in detail about this formula?
I just know V(s)/M(s)= E[V(T)/M(T) |Fs], V and M are numeraires, this is
clear for me. But how does the dP/dQ come from? I don't get the point of the
derivative here.
Sorry, can't type Chinese, can anyone answer in Chinese? |
m*******d
发帖数: 9 | 2 你不用管那个导数怎么出来的，把dP/dQ= D当成E^{P}(X)=E^{Q}(DX)就好了 |
L**********u
发帖数: 194 | 3 在calculus中，求积分的时候，你会做变量替换，变量替换后，在新的坐标系下，被积
函数是原来的函数乘上Jacobian。这里的Radon-Nikodym derivative D就是 ”
Jacobian“。 |
m******2
发帖数: 564 | |
m******2
发帖数: 564 | |
L**********u
发帖数: 194 | |
L**********u
发帖数: 194 | 7 你是学数学的？
你给一个不mba的解释，让我们分享一下
【在 m******2 的大作中提到】
: 这哥们语气像MBA啊，行不行啊？
|
m****s
发帖数: 7397 | 8 it's a theorem, not a theory.
also, probably nobody knows who Gisonav is.
it helps if you spell it correctly.
on second thought... maybe it won't.....herherher |
z****g
发帖数: 1978 | 9 I am shocked you know the topic...
【在 m****s 的大作中提到】
: it's a theorem, not a theory.
: also, probably nobody knows who Gisonav is.
: it helps if you spell it correctly.
: on second thought... maybe it won't.....herherher
|
s****r
发帖数: 2386 | 10 Anyone knows Girsanov died from rock/mountain climbing, with a stoch
calculus book in his bag? |
|
|
m****s
发帖数: 7397 | 11 Don't worry
i shocked myself too.
【在 z****g 的大作中提到】
: I am shocked you know the topic...
|
m****s
发帖数: 7397 | 12 Steve's book?
No Way!
【在 s****r 的大作中提到】
: Anyone knows Girsanov died from rock/mountain climbing, with a stoch
: calculus book in his bag?
|
s****r
发帖数: 2386 | 13 I believe he's older than Stephan Shreve? If I have to guess, a book in
russian by Kolmogorov? |
z****g
发帖数: 1978 | 14 shocked again and again...
【在 m****s 的大作中提到】
: Steve's book?
: No Way!
|
s****r
发帖数: 2386 | |
m****s
发帖数: 7397 | 16 i am going to edit "in" to wiki, Steve's book...
hiahiahiahiaa
【在 s****r 的大作中提到】
: Confirmed death in mountain hiking:
: http://en.wikipedia.org/wiki/Igor_Vladimirovich_Girsanov#Death
|
s****r
发帖数: 2386 | 17 lol, Shreve's academic grandpa got his PhD roughly when Girsanov died |
x******a
发帖数: 6336 | 18 我猜是dynkin的新书markov processes
【在 s****r 的大作中提到】
: I believe he's older than Stephan Shreve? If I have to guess, a book in
: russian by Kolmogorov?
|
