The cumulant process and Esscher's change of measure
In 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.
Volume (Year): 6 (2002)
Issue (Month): 4 ()
|Note:||received: January 2001; final version received: November 2001|
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|Order Information:||Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2|
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