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- Titel:
The Cumulant Process and Esscher's Change of Measure
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Kallsen, J.; A., Shiryaev
- Nicht-TUM Koautoren:
- ja
- Kooperation:
- international
- Abstract:
- In this paper two kinds of cumulant processes are studied in a general setting. These processes generalize the cumulant of an infinitely divisible random variable and they appear as the exponential compensator of a semimartingale. In a financial context cumulant processes lead to a generalized Esscher transform. We also provide some new criteria for uniform integrability of exponential martingales.
- Intellectual Contribution:
- Discipline-based Research
- Zeitschriftentitel:
- Finance and Stochastics
- Jahr:
- 2002
- Band / Volume:
- 6
- Heft / Issue:
- 4
- Seitenangaben Beitrag:
- 397-428
- Sprache:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- commissioned:
- not commissioned
- Professional Journal:
- Nein
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