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The cumulant process and Esscher's change of measure · Study

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ArticleThe cumulant process and Esscher's change of measure

Jan Kallsen2002

OA

Articlegreen2002

The cumulant process and Esscher's change of measure

Jan Kallsen · Albert Nikolaevich Shiryaev

280 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1999Continuous Martingales and Brownian Motion 1991Continuous Martingales and Brownian Motion 1987Limit Theorems for Stochastic Processes 2006Stochastic Differential Equations 1979Calcul Stochastique et Problèmes de Martingales 1995Hyperbolic Distributions in Finance 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Cited by

2003A complete explicit solution to the log-optimal portfolio problem 2006Variance-optimal hedging for processes with stationary independent increments 2009Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps 2010On the martingale property of certain local martingales 2005The Lévy LIBOR model 2006Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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Details

Year2002

Typearticle

Published2002-10-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations280

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800200069

openalex_workW2016370513

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2005Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes

2008No Arbitrage and General Semimartingales