Shot-noise processes and the minimal martingale measure

DOI10.1016/J.SPL.2007.03.019MaRDI QIDQ2643045zbMATH OpenOpenAlexFDO

Authors Thorsten Schmidt, Winfried Stute

Publication date 23 August 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.03.019

zbMATH Keywords

jump diffusionshot-noise processminimal martingale measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 17495 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A SHOT NOISE MODEL FOR FINANCIAL ASSETS
• A theory of the term structure of interest rates
• Minimal martingale measures for jump diffusion processes

Cited in

(15)

• A SHOT NOISE MODEL FOR FINANCIAL ASSETS
• The minimal martingale measure for the price process with Poisson shot noise jumps
• Some limit results on the Haar-Fisz transform for inhomogeneous Poisson signals
• Generalized Pareto processes and fund liquidity risk
• Shot-noise processes in finance
• Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
• Shot-noise driven multivariate default models
• Purchase timing models in marketing: a review
• Approximation for portfolio optimization in a financial market with shot-noise jumps
• Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
• Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
• Minimal martingale measures for jump diffusion processes
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
• Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
• Hedging unit-linked life insurance contracts in a financial market driven by shot-noise processes

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