Shot-noise processes and the minimal martingale measure

DOI10.1016/J.SPL.2007.03.019zbMATH Open1255.91411OpenAlexW2056948759MaRDI QIDQ2643045FDOQ2643045

Winfried Stute, Thorsten Schmidt

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)

Cites Work

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• A theory of the term structure of interest rates
• Minimal martingale measures for jump diffusion processes
• A SHOT NOISE MODEL FOR FINANCIAL ASSETS

Cited In (11)

• Some limit results on the Haar-Fisz transform for inhomogeneous Poisson signals
• Approximation for portfolio optimization in a financial market with shot-noise jumps
• Shot-Noise Processes in Finance
• Hedging unit-linked life insurance contracts in a financial market driven by shot-noise processes
• Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
• Purchase timing models in marketing: a review
• Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
• Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
• Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
• Generalized Pareto processes and fund liquidity risk
• Shot-noise driven multivariate default models

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