Conditional Linear Functionals

Pablo Koch-Medina and Cosimo Munari
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Pablo Koch-Medina: University of Zurich, Department of Banking and Finance
Cosimo Munari: University of Zurich, Department of Banking and Finance

Chapter 11 in Market-Consistent Prices, 2020, pp 189-201 from Springer

Abstract: Abstract In this chapter we introduce a special class of maps, called conditional functionals, that generalize conditional expectations with respect to a partition. A special focus is given to conditional functionals that are linear. From a mathematical point of view, this and the following chapter on extensions of conditional linear functionals are more demanding than the previous ones, but a careful reading will pay dividends when we study pricing functionals in multi-period models.

Date: 2020
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DOI: 10.1007/978-3-030-39724-1_11

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