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The cumulant process and Esscher's change of measure

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Cited by:

  1. Blei, Stefan & Engelbert, Hans-Jürgen, 2009. "On exponential local martingales associated with strong Markov continuous local martingales," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2859-2880, September.
  2. Ernst Eberlein & Wolfgang Kluge & Antonis Papapantoleon, 2006. "Symmetries In Lévy Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 967-986.
  3. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
  4. Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Jul 2020.
  5. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, January.
  6. Fred Espen Benth & Salvador Ortiz-Latorre, 2013. "A pricing measure to explain the risk premium in power markets," Papers 1308.3378, arXiv.org.
  7. Küchler Uwe & Tappe Stefan, 2009. "Option pricing in bilateral Gamma stock models," Statistics & Risk Modeling, De Gruyter, vol. 27(4), pages 281-307, December.
  8. Hubalek, Friedrich & Sgarra, Carlo, 2009. "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2137-2157, July.
  9. Fontana, Claudio & Gnoatto, Alessandro & Szulda, Guillaume, 2023. "CBI-time-changed Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 323-349.
  10. Basse-O’Connor, Andreas & Nielsen, Mikkel Slot & Pedersen, Jan, 2018. "Equivalent martingale measures for Lévy-driven moving averages and related processes," Stochastic Processes and their Applications, Elsevier, vol. 128(8), pages 2538-2556.
  11. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, vol. 20(2), pages 267-320, April.
  12. Alessandro Gnoatto & Silvia Lavagnini, 2023. "Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting," Papers 2312.13057, arXiv.org.
  13. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2017. "Stability for gains from large investors' strategies in M1/J1 topologies," Papers 1701.02167, arXiv.org, revised Mar 2018.
  14. Friedrich Hubalek & Carlo Sgarra, 2006. "Esscher transforms and the minimal entropy martingale measure for exponential Levy models," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 125-145.
  15. Tsukasa Fujiwara, 2009. "The Minimal Entropy Martingale Measures for Exponential Additive Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 65-95, March.
  16. Buchmann, Boris & Kaehler, Benjamin & Maller, Ross & Szimayer, Alexander, 2017. "Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing," Stochastic Processes and their Applications, Elsevier, vol. 127(7), pages 2208-2242.
  17. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 457-493, June.
  18. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 62-78.
  19. Anastasia Ellanskaya & Lioudmila Vostrikova, 2013. "Utility maximisation and utility indifference price for exponential semi-martingale models with random factor," Papers 1303.1134, arXiv.org.
  20. Abbaspour, Manijeh & Vajargah, Kianoush Fathi & Azhdari, Parvin, 2023. "An efficient algorithm for pricing reinsurance contract under the regime-switching model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 278-300.
  21. S. Cawston & L. Vostrikova, 2010. "$F$-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point," Papers 1004.3525, arXiv.org, revised Jun 2011.
  22. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  23. Roman V. Ivanov, 2023. "On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model," Risks, MDPI, vol. 11(6), pages 1-23, June.
  24. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.
  25. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2018. "Multiple curve L\'evy forward price model allowing for negative interest rates," Papers 1805.02605, arXiv.org.
  26. Ruf, Johannes, 2013. "A new proof for the conditions of Novikov and Kazamaki," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 404-421.
  27. David Criens, 2018. "Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-41, February.
  28. Rüschendorf Ludger & Wolf Viktor, 2015. "Cost-efficiency in multivariate Lévy models," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-16, April.
  29. José Fajardo, 2014. "Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 319-327, October.
  30. Michail Anthropelos & Michael Kupper & Antonis Papapantoleon, 2015. "An equilibrium model for spot and forward prices of commodities," Papers 1502.00674, arXiv.org, revised Jan 2017.
  31. Lokka, A. & Xu, Junwei, 2020. "Optimal liquidation trajectories for the Almgren-Chriss model," LSE Research Online Documents on Economics 106977, London School of Economics and Political Science, LSE Library.
  32. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
  33. Mayerhofer, Eberhard & Muhle-Karbe, Johannes & Smirnov, Alexander G., 2011. "A characterization of the martingale property of exponentially affine processes," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 568-582, March.
  34. Arne Lokka & Junwei Xu, 2020. "Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process," Papers 2002.03379, arXiv.org, revised Oct 2020.
  35. Masaaki Fukasawa, 2014. "Efficient price dynamics in a limit order market: an utility indifference approach," Papers 1410.8224, arXiv.org.
  36. Grigelionis, Bronius & Mackevicius, Vigirdas, 2003. "The finiteness of moments of a stochastic exponential," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 243-248, September.
  37. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified stochastic calculus via semimartingale representations," Papers 2006.11914, arXiv.org, revised Jan 2022.
  38. Carole Bernard & Zhenyu Cui & Don McLeish, 2013. "On the martingale property in stochastic volatility models based on time-homogeneous diffusions," Papers 1310.0092, arXiv.org, revised Jul 2014.
  39. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
  40. Son-Nan Chen & Pao-Peng Hsu & Chang-Yi Li, 2016. "Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 573-592, April.
  41. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009.
  42. Uwe Kuchler & Stefan Tappe, 2019. "Option pricing in bilateral Gamma stock models," Papers 1907.09862, arXiv.org.
  43. Aleksandar Mijatovic & Mikhail Urusov, 2009. "On the Martingale Property of Certain Local Martingales," Papers 0905.3701, arXiv.org, revised Oct 2010.
  44. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
  45. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Papers 2006.12765, arXiv.org, revised May 2023.
  46. Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu, 2017. "Additive energy forward curves in a Heath-Jarrow-Morton framework," Papers 1709.03310, arXiv.org, revised Jun 2018.
  47. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2022. "CBI-time-changed Lévy processes," Working Papers 05/2022, University of Verona, Department of Economics.
  48. Michail Anthropelos & Michael Kupper & Antonis Papapantoleon, 2018. "An Equilibrium Model for Spot and Forward Prices of Commodities," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 152-180, February.
  49. David Criens & Kathrin Glau & Zorana Grbac, 2017. "Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models," Post-Print hal-03898993, HAL.
  50. Arne Lokka & Junwei Xu, 2020. "Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes," Papers 2002.03376, arXiv.org, revised Sep 2020.
  51. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.
  52. Noorani, Idin & Mehrdoust, Farshid & Nasroallah, Abdelaziz, 2021. "A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 1-15.
  53. Hardy Hulley & Johannes Ruf, 2019. "Weak Tail Conditions for Local Martingales," Published Paper Series 2019-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  54. Kais Hamza & Fima C. Klebaner & Zinoviy Landsman & Ying-Oon Tan, 2014. "Option Pricing for Symmetric L\'evy Returns with Applications," Papers 1402.1554, arXiv.org.
  55. Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.
  56. Mahdieh Aminian Shahrokhabadi & Alexander Melnikov & Andrey Pak, 2024. "The Duality Principle for Multidimensional Optional Semimartingales," JRFM, MDPI, vol. 17(2), pages 1-22, January.
  57. Carla Mereu & Robert Stelzer, 2015. "A BSDE arising in an exponential utility maximization problem in a pure jump market model," Papers 1508.07561, arXiv.org, revised Jan 2016.
  58. Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 257-275.
  59. Laura Ballotta, 2009. "Pricing and capital requirements for with profit contracts: modelling considerations," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 803-817.
  60. Fima C. Klebaner & Zinoviy Landsman, 2009. "Option Pricing for Log-Symmetric Distributions of Returns," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 339-357, September.
  61. Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 257-275, August.
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