# risk-neutral-measure

### risk management - Consistency of economic scenarios in nested stochastics simulation

The Global Calibration paper outlines a method which is one approach to resolve inconsistencies between pricing and calculating risk measures.... Read More

### stochastic calculus - Girsanov Theorem, Radon-Nikodym Derivative backward

The result you're looking for is $$\left. \frac{d\Bbb{P}}{d\Bbb{Q}}\right\vert{\mathcal{F}t} = \left( \left. \frac{d\Bbb{Q}}{d\Bbb{P}}\right\vert{\mathcal{F}t} \right)^{-1}$$ This is a result from... Read More

### Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?

Yes. The risk neutral and the real path share the same volatility, so the difference is in the drift rate, where the risk-neutral path drifts with the risk-free rate r. You may want to check out Paul... Read More