A SHOT NOISE MODEL FOR FINANCIAL ASSETS

DOI10.1142/S0219024908004737MaRDI QIDQ3520395zbMATH OpenFDO

Authors Timo Altmann, Thorsten Schmidt, Winfried Stute

Publication date 26 August 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024908004737

Mathematics Subject Classification ID

Recommendations

• Shot-noise processes and the minimal martingale measure
• Shot-noise processes in finance
• Modeling financial asset returns with shot noise processes
• Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times
• The minimal martingale measure for the price process with Poisson shot noise jumps

Cites work

• scientific article; zbMATH DE number 50702 (Why is no real title available?)
• scientific article; zbMATH DE number 1255542 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A Counterexample to Several Problems In the Theory of Asset Pricing
• Financial Modelling with Jump Processes
• Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
• Minimal martingale measures for jump diffusion processes
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• The pricing of options and corporate liabilities

Cited in

(11)

• Generalized Pareto processes and fund liquidity risk
• Modeling financial asset returns with shot noise processes
• Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
• Approximation for portfolio optimization in a financial market with shot-noise jumps
• Equilibrium approach of asset pricing under Lévy process
• Purchase timing models in marketing: a review
• Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
• Optimal investment in markets with over and under-reaction to information
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
• Shot-noise processes in finance
• Shot-noise processes and the minimal martingale measure

This page was built for publication: A SHOT NOISE MODEL FOR FINANCIAL ASSETS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3520395)