On jump-diffusion processes with regime switching: Martingale approach

"We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy approach is also developed. It is shown that in contra...

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Detalles Bibliográficos
Autores Principales: di Crescenzo A., Ratanov N.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Instituto Nacional de Matematica Pura e Aplicada 2015
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/24007
id ir-10336-24007
recordtype dspace
spelling ir-10336-240072021-01-21T08:32:11Z On jump-diffusion processes with regime switching: Martingale approach di Crescenzo A. Ratanov N. Jump-diffusion process Jump-telegraph process Martingales Nancial modelling Relative entropy "We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy approach is also developed. It is shown that in contrast to the case of Lévy processes, for this model an Esscher transformation does not produce the minimal relative entropy." 2015 2020-05-26T00:07:30Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repository.urosario.edu.co/handle/10336/24007 eng info:eu-repo/semantics/openAccess application/pdf Instituto Nacional de Matematica Pura e Aplicada instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Jump-diffusion process
Jump-telegraph process
Martingales
Nancial modelling
Relative entropy
spellingShingle Jump-diffusion process
Jump-telegraph process
Martingales
Nancial modelling
Relative entropy
di Crescenzo A.
Ratanov N.
On jump-diffusion processes with regime switching: Martingale approach
description "We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy approach is also developed. It is shown that in contrast to the case of Lévy processes, for this model an Esscher transformation does not produce the minimal relative entropy."
format Artículo (Article)
author di Crescenzo A.
Ratanov N.
author_facet di Crescenzo A.
Ratanov N.
author_sort di Crescenzo A.
title On jump-diffusion processes with regime switching: Martingale approach
title_short On jump-diffusion processes with regime switching: Martingale approach
title_full On jump-diffusion processes with regime switching: Martingale approach
title_fullStr On jump-diffusion processes with regime switching: Martingale approach
title_full_unstemmed On jump-diffusion processes with regime switching: Martingale approach
title_sort on jump-diffusion processes with regime switching: martingale approach
publisher Instituto Nacional de Matematica Pura e Aplicada
publishDate 2015
url https://repository.urosario.edu.co/handle/10336/24007
_version_ 1690577253262426112
score 11,828437