A SHOT NOISE MODEL FOR FINANCIAL ASSETS

DOI10.1142/S0219024908004737zbMath1153.91452MaRDI QIDQ3520395

Timo Altmann, Thorsten Schmidt, Winfried Stute

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (9)

Approximation for portfolio optimization in a financial market with shot-noise jumps ⋮ Generalized Pareto processes and fund liquidity risk ⋮ Shot-noise processes and the minimal martingale measure ⋮ Optimal investment in markets with over and under-reaction to information ⋮ Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process ⋮ Statistical properties and economic implications of jump-diffusion processes with shot-noise effects ⋮ Shot-Noise Processes in Finance ⋮ Equilibrium approach of asset pricing under Lévy process ⋮ Purchase timing models in marketing: a review

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
• A Counterexample to Several Problems In the Theory of Asset Pricing
• Minimal martingale measures for jump diffusion processes
• Financial Modelling with Jump Processes

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