A General Benchmark Model for Stochastic Jump Sizes

DOI10.1080/07362990500187066MaRDI QIDQ5697673zbMATH OpenOpenAlexFDO

Authors Morten Mosegaard Christensen, Eckhard Platen

Publication date 18 October 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990500187066

zbMATH Keywords

Approximate market completeness, Arbitrage, Benchmark model, Growth optimal portfolio, Marked point process, Market price of risk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• A Discrete Time Benchmark Approach for Insurance and Finance
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Cited in

(11)

• Complete markets with discontinuous security price
• A structure for general and specific market risk
• scientific article; zbMATH DE number 2133123 (Why is no real title available?)
• No Arbitrage and the Growth Optimal Portfolio
• Real-world forward rate dynamics with affine realizations
• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
• A class of complete benchmark models with intensity-based jumps
• Real-world jump-diffusion term structure models
• Invariant cones for jump-diffusions in infinite dimensions
• A benchmark approach to risk-minimization under partial information
• Alternative defaultable term structure models

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