Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models

DOI10.1080/1350486X.2017.1327324zbMath1398.91574arXiv1506.08127WikidataQ115550016 ScholiaQ115550016MaRDI QIDQ4610206

David Criens, Zorana Grbac, Kathrin Glau

Publication date: 6 April 2018

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

Full work available at URL: https://arxiv.org/abs/1506.08127

zbMATH Keywords

uniform integrabilitymartingale propertyexponential semimartingaleLibor modelsemimartingale asset price model

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A general HJM framework for multiple yield curve modelling ⋮ A Unified View of LIBOR Models ⋮ A Multiple Curve Lévy Swap Market Model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Shifting martingale measures and the birth of a bubble as a submartingale
• Calcul stochastique et problèmes de martingales
• Martingale methods in financial modelling.
• Mathematical methods for financial markets.
• Semimartingales: A course on stochastic processes
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Continuous-time term structure models: Forward measure approach
• The cumulant process and Esscher's change of measure
• Lévy term structure models: no-arbitrage and completeness
• Optimal portfolios for logarithmic utility.
• A new proof for the conditions of Novikov and Kazamaki
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes
• The Lévy LIBOR model
• Local martingales, bubbles and option prices
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• A Mathematical Theory of Financial Bubbles
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• No Arbitrage and General Semimartingales
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• The Market Model of Interest Rate Dynamics
• On an Identity for Stochastic Integrals
• Financial Modelling with Jump Processes
• Changes of numéraire, changes of probability measure and option pricing

This page was built for publication: Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models