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The cumulant process and Esscher's change of measure

  • Albert N. Shiryaev

    ()

    (Steklov Mathematical Institute, Gubkina St. 8, 117966 Moscow, Russia Manuscript)

  • Jan Kallsen

    ()

    (Institut für Mathematische Stochastik, Universität Freiburg, Eckerstraße 1, 79104 Freiburg i. Br., Germany)

Registered author(s):

    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.

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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 6 (2002)
    Issue (Month): 4 ()
    Pages: 397-428

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    Handle: RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428
    Note: received: January 2001; final version received: November 2001
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