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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License
Abierto (Texto Completo)
id EDOCUR2_46a87f97fcee5d1830f62ace20a09c3b
oai_identifier_str oai:repository.urosario.edu.co:10336/22561
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 8c44838d-1f4d-4d6a-85fd-8db20492fb2d-19328d3d7-5c75-438b-bf0d-b017802a0f15-14ab98391-ba48-4790-b0fb-e3a748e4361b-12020-05-25T23:56:55Z2020-05-25T23:56:55Z2019We 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 market model based on this transform can price switching risks as well as jump risks of the model. © 2019 John Wiley and Sons, Ltd.application/pdfhttps://doi.org/10.1002/mma.56831099147601704214https://repository.urosario.edu.co/handle/10336/22561engJohn Wiley and Sons Ltd4626No. 134606Mathematical Methods in the Applied SciencesVol. 42Mathematical Methods in the Applied Sciences, ISSN:10991476, 01704214, Vol.42, No.13 (2019); pp. 4606-4626https://www.scopus.com/inward/record.uri?eid=2-s2.0-85067418362&doi=10.1002%2fmma.5683&partnerID=40&md5=cd6adda34521688479d85d7d76d1c78bAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURCommerceFinancial marketsPoisson distributionRisk assessmentTelegraphExponential distributionsMartingalePiecewise linearRenewal processRisk-neutral measurePiecewise linear techniquesMartingalePiecewise linear processPoisson-modulated exponential distributionRenewal processRisk neutral measureTelegraph processPiecewise linear processes with Poisson-modulated exponential switching timesarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Di Crescenzo A.Martinucci B.Ratanov N.10336/22561oai:repository.urosario.edu.co:10336/225612022-05-02 07:37:14.243562https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Piecewise linear processes with Poisson-modulated exponential switching times
title Piecewise linear processes with Poisson-modulated exponential switching times
spellingShingle Piecewise linear processes with Poisson-modulated exponential switching times
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
title_short Piecewise linear processes with Poisson-modulated exponential switching times
title_full Piecewise linear processes with Poisson-modulated exponential switching times
title_fullStr Piecewise linear processes with Poisson-modulated exponential switching times
title_full_unstemmed Piecewise linear processes with Poisson-modulated exponential switching times
title_sort Piecewise linear processes with Poisson-modulated exponential switching times
dc.subject.keyword.spa.fl_str_mv 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
topic 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
description 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 market model based on this transform can price switching risks as well as jump risks of the model. © 2019 John Wiley and Sons, Ltd.
publishDate 2019
dc.date.created.spa.fl_str_mv 2019
dc.date.accessioned.none.fl_str_mv 2020-05-25T23:56:55Z
dc.date.available.none.fl_str_mv 2020-05-25T23:56:55Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1002/mma.5683
dc.identifier.issn.none.fl_str_mv 10991476
01704214
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/22561
url https://doi.org/10.1002/mma.5683
https://repository.urosario.edu.co/handle/10336/22561
identifier_str_mv 10991476
01704214
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 4626
dc.relation.citationIssue.none.fl_str_mv No. 13
dc.relation.citationStartPage.none.fl_str_mv 4606
dc.relation.citationTitle.none.fl_str_mv Mathematical Methods in the Applied Sciences
dc.relation.citationVolume.none.fl_str_mv Vol. 42
dc.relation.ispartof.spa.fl_str_mv Mathematical Methods in the Applied Sciences, ISSN:10991476, 01704214, Vol.42, No.13 (2019); pp. 4606-4626
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-85067418362&doi=10.1002%2fmma.5683&partnerID=40&md5=cd6adda34521688479d85d7d76d1c78b
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv John Wiley and Sons Ltd
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
_version_ 1814167665127718912

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