I was planning on moving on to his book but now I'll just read this. Kudos to you Nicola for putting in the work and then releasing. If I were you I would typeset this and approach publishers because I bet you would sell many copies.
edit: i'll take this opportunity to poll the audience: does anyone know a good explanation of girsanov? i know a fair amount of measure theory but i'm still looking for a good, detailed, practical explanation of its use in the context of changing to risk-free measure for black-scholes.
https://epubs.siam.org/doi/abs/10.1137/s0036144500378302
I was planning on moving on to his book but now I'll just read this. Kudos to you Nicola for putting in the work and then releasing. If I were you I would typeset this and approach publishers because I bet you would sell many copies.
edit: i'll take this opportunity to poll the audience: does anyone know a good explanation of girsanov? i know a fair amount of measure theory but i'm still looking for a good, detailed, practical explanation of its use in the context of changing to risk-free measure for black-scholes.