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

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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Year of publication:	2001-08
Authors:	Roncoroni, Andrea
Institutions:	International Centre for Economic Research (ICER)

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Extent:	application/pdf
Series:	ICER Working Papers - Applied Mathematics Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	35 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005577358