Questions tagged [radon-nikodym]

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Understanding Bayes Rule of conditional expectation

Let $\mathcal{F}$ be a $\sigma$-algebra, $P$ and $Q$ be equivalent martingale measures and $\frac{dQ}{dP}$ the Radon Nikodym Derivative. I learned that $\Bbb{E}_Q[X]=\Bbb{E}_P[\frac{dQ}{dP}X] $, which ...
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Change of numeraire between t1-forward mesure and t2-forward mesure

Let denote $\mathbb{Q}_{t_1}$ the $t_1$-forward mesure associated to zero coupon bond $B(.,t_1)$. Let denote $\mathbb{Q}_{t_2}$ the $t_2$-forward mesure associated to zero coupon bond $B(.,t_2)$. I am ...