Preprint2001

Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes

22 citations0/0 files storedRePEc: Research Papers in Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

We derive a general formula for the change of numéraire in multifactor ane arbitrage free models driven by marked point processes. As a complement, we present both ane structures and change of measures in the general setting of jump diusions. This provides for a comprehensive view on the subject.

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1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1995Changes of numéraire, changes of probability measure and option pricing 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions 1997Bond Market Structure in the Presence of Marked Point Processes 2003Expected utility theory without the completeness axiom 2001Risk, Ambiguity, and the Separation of Utility and Beliefs

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2004A folk theorem for minority games 2001Multivariate Option Pricing with Copulas 2003Zonoids, linear dependence, and size-biased distributions on the simplex

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