A class of complete benchmark models with intensity-based jumps

DOI10.1239/JAP/1077134665MaRDI QIDQ4819433zbMATH OpenOpenAlexFDO

Authors Eckhard Platen

Publication date 24 September 2004

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1077134665

zbMATH Keywords

jump diffusionsinsuranceactuarial pricingfair pricinggrowth-optimal portfoliobenchmark modelevent risk premium

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24) Continuity and singularity of induced measures (60G30)

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Cited in

(10)

• A benchmark approach to filtering in finance
• Arbitrage in continuous complete markets
• Local volatility function models under a benchmark approach
• A BENCHMARK APPROACH TO FINANCE
• Capital asset pricing for markets with intensity based jumps
• A General Benchmark Model for Stochastic Jump Sizes
• Diversified portfolios with jumps in a benchmark framework
• Real-world jump-diffusion term structure models
• No Arbitrage and the Growth Optimal Portfolio
• scientific article; zbMATH DE number 2133123 (Why is no real title available?)

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