Portfolio generating functions with price driven by Brownian motions and Poisson point processes

zbMATH Open1224.91030MaRDI QIDQ3071685FDOQ3071685

Authors: Zijun Guo 

Publication date: 5 February 2011

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zbMATH Keywords

stochastic differential equationsPoisson point processesmarket asset portfolioportfolio generating function

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10) Brownian motion (60J65) Financial applications of other theories (91G80)

Cited In (5)

• A general theorem for portfolio generating functions
• The portfolio model based on geometric Brownian motion
• Black portfolio analysis for model of evolution of the price of shares with generalized Poisson processes and for Samuelson models
• Dilated Poisson processes and their applications in finance
• Market-to-book ratio in stochastic portfolio theory

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