Pricing equity swaps in an economy with jumps

DOI10.1080/1350486X.2012.659556MaRDI QIDQ3176521zbMATH OpenFDO

Authors Mia Hinnerich

Publication date 20 July 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

martingalesderivatives pricingmarked point processesequity swapsconvexity corrections

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Martingales with continuous parameter (60G44)

Recommendations

• Pricing equity swaps in an economy driven by geometric Itō-Levy processes
• Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
• Equity quantile upper and lower swaps
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
• Exact pricing with stochastic volatility and jumps

Cites work

• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1505639 (Why is no real title available?)
• Arbitrage Theory in Continuous Time
• Bond Market Structure in the Presence of Marked Point Processes
• Financial Modelling with Jump Processes

Cited in

(3)

• Equity quantile upper and lower swaps
• Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
• Pricing equity swaps in an economy driven by geometric Itō-Levy processes

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