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Martingale

Predictable process

Martingale transform

= Conditional covariance hedge ratio
{synonym}

For a square-integrable martingale transform and positive conditional increment variance,
$$
A_n=\frac{\operatorname{Cov}(X_n,M_n\mid\mathcal F_{n-1})}
{\operatorname{Var}(M_n\mid\mathcal F_{n-1})}.
$$


Recovery of a martingale-transform integrand by conditional covariance

Conditional covariance

Past exam of the mathematics course of the University of Cambridge / 2023 / ii / Paper 2 / 30K / c / Solution

codex/conditional-covariance-hedge-ratio

Recovery of a martingale-transform integrand by conditional covariance

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Recovery of a martingale-transform integrand by conditional covariance

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