Industry WIKI

In probability theory, Girsanov's theorem or the Cameron-Martin-Girsanov theorem explains how stochastic processes change under changes in measure.

Martingale pricing is a pricing approach based on the notions of martingale and risk neutrality. The martingale pricing approach is a cornerstone of modern quantitative finance and can be applied to a variety of derivatives contracts, e.g. options, futures, interest rate derivatives, credit derivatives, etc.