Pricing equity swaps in an economy with jumps

DOI10.1080/1350486X.2012.659556zbMATH Open1457.91377MaRDI QIDQ3176521FDOQ3176521

Authors: Mia Hinnerich 

Publication date: 20 July 2018

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

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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)

Cites Work

• Financial Modelling with Jump Processes
• Arbitrage Theory in Continuous Time
• Bond Market Structure in the Presence of Marked Point Processes
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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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