Piecewise linear processes with Poisson-modulated exponential switching times

We consider the jump telegraph process when switching intensities depend on external shocks also accompanying with jumps. The incomplete financial market model based on this process is studied. The Esscher transform, which changes only unobservable parameters, is considered in detail. The financial...

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Autores:

Tipo de recurso:

Fecha de publicación:

2019

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/22561

Acceso en línea:

https://doi.org/10.1002/mma.5683
https://repository.urosario.edu.co/handle/10336/22561

Palabra clave:

Commerce
Financial markets
Poisson distribution
Risk assessment
Telegraph
Exponential distributions
Martingale
Piecewise linear
Renewal process
Risk-neutral measure
Piecewise linear techniques
Martingale
Piecewise linear process
Poisson-modulated exponential distribution
Renewal process
Risk neutral measure
Telegraph process

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