Conditional Probabilities and Expectations

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 10 in Market-Consistent Prices, 2020, pp 175-187 from Springer

Abstract: Abstract In the previous chapter we discussed how sometimes we obtain only partial information about the outcome of a random experiment. The granularity in which we receive information comes in the form of a partition of the underlying sample space and only allows us to evaluate random variables that are measurable with respect to that partition. In this chapter we investigate how the assessment of probabilities and, hence, expectations is affected by the degree of granularity in which information is provided. This leads us to the concepts of conditional probabilities and conditional expectations.

Date: 2020
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DOI: 10.1007/978-3-030-39724-1_10

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