Change of Time and Change of Measure (Q3057901)
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scientific article; zbMATH DE number 5817017
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| English | Change of Time and Change of Measure |
scientific article; zbMATH DE number 5817017 |
Statements
Change of Time and Change of Measure (English)
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17 November 2010
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random change of time
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change of measure
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stochastic integrals
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semimartingales
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cumulant process
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processes with independent increments
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Brownian motion
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Lévy processes
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conditionally Gaussian distributions
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martingale measures
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stochastic theory of arbitrage
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rational option pricing
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conditionally Brownian and Lévy processes
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stochastic volatility models
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