Login
- Title:
The Cumulant Process and Esscher's Change of Measure
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Kallsen, J.; A., Shiryaev
- Non-TUM Co-author(s):
- ja
- Cooperation:
- 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
- Journal title:
- Finance and Stochastics
- Year:
- 2002
- Journal volume:
- 6
- Journal issue:
- 4
- Pages contribution:
- 397-428
- Language:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- Commissioned:
- not commissioned
- Professional Journal:
- Nein
BibTeX
versions
