Pages that link to "Item:Q1424691"
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The following pages link to The cumulant process and Esscher's change of measure (Q1424691):
Displaying 50 items.
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- A general HJM framework for multiple yield curve modelling (Q287657) (← links)
- A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework (Q289315) (← links)
- A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
- Reviewing alternative characterizations of Meixner process (Q431510) (← links)
- Optimal martingale measures for defaultable assets (Q436296) (← links)
- Ruin probabilities under general investments and heavy-tailed claims (Q483712) (← links)
- On the calibration of local jump-diffusion asset price models (Q484208) (← links)
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
- A characterization of the martingale property of exponentially affine processes (Q550153) (← links)
- On the martingale property of certain local martingales (Q664349) (← links)
- Time-changed extremal process as a random sup measure (Q726725) (← links)
- The quintessential option pricing formula under Lévy processes (Q735135) (← links)
- On the construction of optimal payoffs (Q777925) (← links)
- Option pricing for log-symmetric distributions of returns (Q835680) (← links)
- On exponential local martingales associated with strong Markov continuous local martingales (Q841482) (← links)
- The minimal entropy martingale measures for exponential additive processes (Q841854) (← links)
- Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes (Q841858) (← links)
- On the duality principle in option pricing: semimartingale setting (Q928504) (← links)
- On option pricing under a completely random measure via a generalized Esscher transform (Q938038) (← links)
- Esscher transform and the duality principle for multidimensional semimartingales (Q983888) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- A complete explicit solution to the log-optimal portfolio problem. (Q1413691) (← links)
- The finiteness of moments of a stochastic exponential. (Q1423120) (← links)
- Equivalent martingale measures for Lévy-driven moving averages and related processes (Q1639665) (← links)
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies (Q1740520) (← links)
- On computing the price of financial instruments in foreign currency (Q1796242) (← links)
- Counterfactual analyses with graphical models based on local independence (Q1940769) (← links)
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282) (← links)
- Convergence of local supermartingales (Q2028957) (← links)
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model (Q2037761) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- A regime switching model for temperature modeling and applications to weather derivatives pricing (Q2299383) (← links)
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework (Q2323334) (← links)
- Option pricing in time-changed Lévy models with compound Poisson jumps (Q2326531) (← links)
- Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models (Q2343101) (← links)
- Pricing annuity guarantees under a double regime-switching model (Q2347059) (← links)
- Cost-efficiency in multivariate Lévy models (Q2351198) (← links)
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
- Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
- Weak tail conditions for local martingales (Q2421830) (← links)
- Equivalent and absolutely continuous measure changes for jump-diffusion processes (Q2572390) (← links)
- Stochastic exponentials and logarithms on stochastic intervals. A survey (Q2633837) (← links)
- Rating based Lévy Libor model (Q2851557) (← links)
- The affine LIBOR models (Q2851558) (← links)
- On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations (Q2904891) (← links)
- ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS (Q2968278) (← links)
- COHERENT FOREIGN EXCHANGE MARKET MODELS (Q2970322) (← links)
- A PDE approach to jump-diffusions (Q2994851) (← links)
