A General Benchmark Model for Stochastic Jump Sizes

DOI10.1080/07362990500187066zbMath1138.91428OpenAlexW3021371330MaRDI QIDQ5697673

Eckhard Platen, Morten Mosegaard Christensen

Publication date: 18 October 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500187066

zbMATH Keywords

Approximate market completeness, Arbitrage, Benchmark model, Growth optimal portfolio, Marked point process, Market price of risk

Mathematics Subject Classification ID

Related Items (6)

Real-World Forward Rate Dynamics With Affine Realizations ⋮ Alternative defaultable term structure models ⋮ SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS ⋮ Real-world jump-diffusion term structure models ⋮ A benchmark approach to risk-minimization under partial information ⋮ No Arbitrage and the Growth Optimal Portfolio

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum portfolio diversification in a general continuous-time model
• Point processes and queues. Martingale dynamics
• Martingale densities for general asset prices
• On martingale measures when asset returns have unpredictable jumps
• Towards a general theory of bond markets
• A complete explicit solution to the log-optimal portfolio problem.
• The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Diversity and relative arbitrage in equity markets
• Optimal portfolios for logarithmic utility.
• The existence of absolutely continuous local martingale measures
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• No Arbitrage and the Growth Optimal Portfolio
• Bond Market Structure in the Presence of Marked Point Processes
• A Discrete Time Benchmark Approach for Insurance and Finance
• Diversified Portfolios in Continuous Time *
• Arbitrage in continuous complete markets
• A class of complete benchmark models with intensity-based jumps
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Option pricing: A simplified approach

This page was built for publication: A General Benchmark Model for Stochastic Jump Sizes