The cumulant process and Esscher's change of measure
AbstractIn this paper two kinds of cumulant processes are studied in a general setting. These processes generalize the cumulant of an infinitely divisible random variable and they appear as the exponential compensator of a semimartingale. In a financial context cumulant processes lead to a generalized Esscher transform. We also provide some new criteria for uniform integrability of exponential martingales.
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 6 (2002)
Issue (Month): 4 ()
Note: received: January 2001; final version received: November 2001
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Web page: http://www.springerlink.com/content/101164/
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