Pricing Equity Swaps in an Economy with Jumps

DOI10.1080/1350486X.2012.659556zbMath1457.91377MaRDI QIDQ3176521

Mia Hinnerich

Publication date: 20 July 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

martingalesmarked point processesderivatives pricingequity swapsconvexity corrections

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• Bond Market Structure in the Presence of Marked Point Processes
• Financial Modelling with Jump Processes
• Arbitrage Theory in Continuous Time

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