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The natural "Lebesgue measure" on S 1 is then the push-forward measure f ∗ (λ). The measure f ∗ (λ) might also be called "arc length measure" or "angle measure", since the f ∗ (λ)-measure of an arc in S 1 is precisely its arc length (or, equivalently, the angle that it subtends at the centre of the circle.)
In finance, a T-forward measure is a pricing measure absolutely continuous with respect to a risk-neutral measure, but rather than using the money market as numeraire, it uses a bond with maturity T. The use of the forward measure was pioneered by Farshid Jamshidian (1987), and later used as a means of calculating the price of options on bonds .
For example, if the map φ is not surjective, there is no natural way to define such a pushforward outside of the image of φ. Also, if φ is not injective there may be more than one choice of pushforward at a given point. Nevertheless, one can make this difficulty precise, using the notion of a vector field along a map.
X is a Brownian motion with respect to P, i.e., the law of X with respect to P is the same as the law of an n-dimensional Brownian motion, i.e., the push-forward measure X ∗ (P) is classical Wiener measure on C 0 ([0, ∞); R n). both X is a martingale with respect to P (and its own natural filtration); and
Pushforward measure, measure induced on the target measure space by a measurable function; Pushout (category theory), the categorical dual of pullback; Direct image sheaf, the pushforward of a sheaf by a map; Fiberwise integral, the direct image of a differential form or cohomology by a smooth map, defined by "integration on the fibres"
The approach arises since the evolution of the option value can be modelled via a partial differential equation (PDE), as a function of (at least) time and price of underlying; see for example the Black–Scholes PDE. Once in this form, a finite difference model can be derived, and the valuation obtained. [2]
In measure theory, a radonifying function (ultimately named after Johann Radon) between measurable spaces is one that takes a cylinder set measure (CSM) on the first space to a true measure on the second space. It acquired its name because the pushforward measure on the second space was historically thought of as a Radon measure.
An example is the Gaussian cylinder set measure on Hilbert space. Cylinder set measures are in general not measures (and in particular need not be countably additive but only finitely additive), but can be used to define measures, such as the classical Wiener measure on the set of continuous paths starting at the origin in Euclidean space.