Exponential change of measure applied to term structures of interest rates and exchange rates

DOI10.1016/J.INSMATHECO.2011.04.004MaRDI QIDQ634008zbMATH OpenOpenAlexFDO

Authors Lijun Bo

Publication date 2 August 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.04.004

zbMATH Keywords

Esscher transformexponential change of measurepotential representationstate-price deflator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Laplace transform (44A10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
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• Pricing currency derivatives with Markov-modulated Lévy dynamics
• Moment generating function approach to pricing interest rate and foreign exchange rate claims.

Cites work

• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
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• A technique for exponential change of measure for Markov processes
• A theory of the term structure of interest rates
• Actuarial bridges to dynamic hedging and option pricing
• An equilibrium characterization of the term structure
• Applied Probability and Queues
• Equity-linked life insurance: A model with stochastic interest rates
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
• Markov-modulated jump-diffusions for currency option pricing
• Moment generating function approach to pricing interest rate and foreign exchange rate claims.
• On Esscher Transforms in Discrete Finance Models
• Option Pricing With Markov-Modulated Dynamics
• Option pricing and Esscher transform under regime switching
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Pricing interest-rate-derivative securities
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

Cited in

(4)

• Exponential change of measure for general piecewise deterministic Markov processes
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• Optimal investment of variance-swaps in jump-diffusion market with regime-switching
• Base change and the Fredholm index

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