Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina - Finance Discipline Group, Business School - 2009
−dimensional Wiener process W = {Wt = (W1t ,...,Wmt )⊤,t ∈
[0, ¯T]}. The event driven traded uncertainty is modelled by a Poisson random … density φ(dv,t)λt . One can interpret τi as the time of the ith event
and the mark υi as its magnitude. By compensating the …