References
Published online by Cambridge University Press: 27 May 2021
Summary
A summary is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
- Type
- Chapter
- Information
- Point Processes and Jump DiffusionsAn Introduction with Finance Applications, pp. 298 - 301Publisher: Cambridge University PressPrint publication year: 2021
References
Abel, A. (1990), ‘Asset prices under habit formation and catching up with the joneses’, American Economic Review pp. 38–42.Google Scholar
Back, K. (2017), Asset Pricing and Portfolio Choice Theory, 2 edn, Oxford University press, Oxford.CrossRefGoogle Scholar
Bain, A. & Crisan, D. (2009), Fundamentals of Stochastic Filtering, Springer Verlag, Berlin.CrossRefGoogle Scholar
Barro, R. (2006), ‘Rare disasters and asset markets in the twentieth century’, The Quarterly Journal of Economics 121, 823–866.CrossRefGoogle Scholar
Barro, R. (2009), ‘Rare disasters, asset prices, and welfare costs’, American Economic Review 99, 243–264.Google Scholar
Bernardo, A. & Ledoit, O. (2000), ‘Gain. loss, and asset pricing’, Journal of Political Economy 108(1), 144–172.Google Scholar
Björk, T. (2020), Arbitrage Theory in Continuous Time, 4th edn, Oxford University Press, Oxford.Google Scholar
Björk, T., Di Masi, G., Kabanov, Y. & Runggaldier, W. (1997), ‘Towards a general theory of bond markets’, Finance and Stochastics 1, 141–174.Google Scholar
Björk, T., Kabanov, Y. & Runggaldier, W. (1995), ‘Bond market structure in the presence of a marked point process’, Mathematical Finance 7(2), 211–239.Google Scholar
Björk, T. & Slinko, I. (2006), ‘Towards a general theory of good deal bounds’, Review of Finance 10, 221–260.CrossRefGoogle Scholar
Black, F., Derman, E. & Toy, W. (1990), ‘A one-factor model of interest rates and its application to treasury bond options’, Financial Analysts Journal 33, 33–39.CrossRefGoogle Scholar
Black, F. & Scholes, M. (1973), ‘The pricing of options and corporate liabilities’, Journal of Political Economy 81, 659–683.CrossRefGoogle Scholar
Brace, A. & Musiela, M. (1994), ‘A multifactor Gauss Markov implementation of Heath, Jarrow, and Morton’, Mathematical Finance 4, 259–283.CrossRefGoogle Scholar
Brandt, M., Zeng, Q. & Zhang, L. (2004), ‘Equilibrium stock return dynamics under alternative rules of learning about hidden states’, Journal of Economic Dynamics and Control 28, 1925– 1954.Google Scholar
Brémaud, P. (1981), Point Processes and Queues: Martingale Dynamics, Springer-Verlag, Berlin.Google Scholar
Carmona, R. E. (2009), Indifference Pricing: Theory and Applications., Princeton University Press, Princeton.Google Scholar
Chamberlain, G. (1988), ‘Asset pricing in multiperiod securities markets.’, Econometrica 56, 1283–1300.CrossRefGoogle Scholar
Cochrane, J. & Saá Requejo, J. (2000), ‘Beyond arbitrage: Good-deal asset price bounds in incomplete markets’, Journal of Political Economy 108, 79–119.Google Scholar
Cohen, S. & Elliott, R. (2015), Stochastic Calculus and Applications, Birkhäuser, New York, Heidelberg, London.CrossRefGoogle Scholar
Cont, R. & Tankov, P. (2003), Finanical Modelling with Jump Processes, Chapman and Hall /CRC.Google Scholar
Cox, J., Ingersoll, J. & Ross, S. (1985), ‘A theory of the term structure of interest rates’, Econometrica 53, 385–408.Google Scholar
Dana, R. & Jeanblanc, M. (2003), Financial Markets in Continuous Time, Springer Verlag, Berlin, Heidelberg, New York.Google Scholar
David, A. (1997), ‘Fluctuating confidence in stock markets: Implications for returns and volatility’, Journal of Financial and Quantitative Analysis 32, 427–462.Google Scholar
David, A. & Veronesi, P. (2013), ‘What ties return volatilities to price valuations and fundamentals?’, Journal of Political Economy 121, 682–746.CrossRefGoogle Scholar
Davis, M. (1997), Option pricing in incomplete markets, in Dempster, M. & Pliska, S., eds, ‘Mathematics of Derivative Securities’, Cambridge University Press, Cambridge, pp. 216–266.Google Scholar
de Donno, M. (2004), ‘A note on completeness in large financial markets’, Mathematical Finance 14, 295–315.Google Scholar
Delbaen, F. & Schachermayer, W. (1994), ‘A general version of the fundamental theorem of asset pricing’, Matematische Annalen 300, 215–250.Google Scholar
Detemple, J. & Zapatero, F. (1991), ‘Asset prices in an exchange economy with habit formation’, Econometrica 59, 1633–1657.Google Scholar
Dothan, M. (1978), ‘On the term structure of interest rates’, Journal of Financial Economics 6, 59–69.Google Scholar
Duffie, D. & Epstein, L. (1992), ‘Stochastic differential utility’, Econometrica 60, 353–394.CrossRefGoogle Scholar
Duffie, D., Filipovic, D. & Schachermayer, W. (2003), ‘Affine processes and applications in finance’, Annals of Applied Probability 13, 984–1053.Google Scholar
Duffie, D. & Huang, C. (1986), ‘Multiperiod securities markets with differential information’, Journal of Mathematical Economics 15, 283–303.CrossRefGoogle Scholar
Duffie, D. & Kan, R. (1996), ‘A yield factor model of interest rates’, Mathematical Finance 6(4), 379–406.Google Scholar
Epstein, L. & Zin, S. (1989), ‘Substitution, risk aversion, and the temporal behavior of consumption and asset returns’, Econometrica 57, 937–969.Google Scholar
Esscher, F. (1932), ‘On the probability function in the collective theory of risk’, Skandinavisk Aktuarietidskrift 15, 175–195.Google Scholar
Föllmer, H. & Sondermann, D. (1986), Hedging of non-redundant contingent claims under incomplete information., in Hildenbrand, W. & Mas-Colell, A., eds, ‘Contributions to Mathematical Economics’, North-Holland, Amsterdam.Google Scholar
Frittelli, M. (2000), ‘The minimal entropy martingale measure and the valuation problem in incomplete markets’, Mathematical Finance 10, 215–225.Google Scholar
Fujisaki, M., Kallinapur, G. & Kunita, H. (1972), ‘Stochastic differential equations of the nonlinear filtering problem’, Osaka Journal of Mathematics 9, 19–40.Google Scholar
Gabaix, X. (2012), ‘Variable rare disasters: An exactly solved framework for ten puzzles in macro-finance’, Quarterly Journal of Economics 127, 645–700.Google Scholar
Gerber, H. & Shiu, E. (1994), ‘Option pricing by esscher transforms’, Transactions of the Society of Actuaries 46, 51–92.Google Scholar
Goll, T. & Rüschendorff, L. (2001), ‘Minimax and minimal distance martingale measures and their relationship to portfolio optimization’, Finance and Stochastics 5, 557–581.Google Scholar
Hansen, L. & Jagannathan, R. (1991), ‘Implications of security market data for models of dynamic economies’, Journal of Political Economy 99, 225–262.Google Scholar
Harrison, J. & Kreps, J. (1979), ‘Martingales and arbitrage in multiperiod markets’, Journal of Economic Theory 11, 418–443.Google Scholar
Harrison, J. & Pliska, S. (1981), ‘Martingales and stochastic integrals in the theory of continuous trading’, Stochastic Processes & Applications 11, 215–260.Google Scholar
Heath, D., Jarrow, R. & Morton, A. (1992), ‘Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation’, Econometrica 60, 77–105.CrossRefGoogle Scholar
Ho, T. & Lee, S. (1986), ‘Term structure movements and pricing interest rate contingent claims’, Journal of Finance 41, 1011–1029.Google Scholar
Huang, C. (1987), ‘An intertemporal general equilibrium asset pricing model: The case of diffusion information’, Econometrica 55, 117–142.CrossRefGoogle Scholar
Hubermann, G. (1982), ‘A simple approach to arbitrage pricing theory’, Journal of Economic Theory. 28, 183–191.Google Scholar
Hull, J. & White, A. (1990), ‘Pricing interest-rate-derivative securities’, Review of Financial Studies 3, 573–592.Google Scholar
Hunt, P. & Kennedy, J. (2000), Options, Futures, and Other Derivatives, Pearson, New York.Google Scholar
Jacod, J. & Shiryaev, A. (1987), Limit Theorems for Stochastic Processes, Springer Verlag, Berlin.CrossRefGoogle Scholar
Kabanov, Y. & Kramkov, D. (1994), ‘Probability theory and its applications.’, Review of Financial Studies 39, 222–229.Google Scholar
Kallsen, J. & Shiryayev, A. (2002), ‘The cumulant process and Esscher’s change of measure’, Finance and Stochastics 6(2), 313–338.Google Scholar
Karatzas, I., Lehoczky, J. & Shreve, S. (1990), ‘Existence and uniqueness of multi-agent equilibrium in a stochastic dynamic consumption/investment model.’, Mathematics of Operations Research 15, 90–128.Google Scholar
Klein, I. & Schachermayer, W. (1996), ‘Asymptotic arbitrage in non-complete large financial markets’, Theory Probab. Appl 41, 927–934.Google Scholar
Klein, I. & Schachermayer, W. (2000), ‘A fundamental theorem of asset pricing for large financial markets’, Mathematical Finance 10, 443–458.Google Scholar
Kreps, D. (1981), ‘Arbitrage and equilibrium in economies with infinitely many commodities’, Journal of Mathematical Economics 8, 15–35.Google Scholar
Kreps, D. & Porteus, E. (1978), ‘Temporal resolution of uncertainty and dynamic choice theory’, Econometrica 46, 185–200.Google Scholar
Lando, D. (1998), ‘On cox processes and credit risky securities’, Review of Derivatives Research 2, 99–120.Google Scholar
Lando, D. (2004), Credit Risk Modeling, Princeton University Press, Princeton, N.J.CrossRefGoogle Scholar
Last, G. & Brandt, A. (1995), Marked Point Processes on the Real Line, Springer Verlag, New York.Google Scholar
Liptser, R. & Shiryayev, A. (2004), Statistics of Random Processes, Vol. I, 2 edn, Springer Verlag, Berlin.Google Scholar
Merton, R. (1973), ‘The theory of rational option pricing’, Bell Journal of Economics and Management Science 4, 141–183.Google Scholar
Merton, R. (1976), ‘Option pricing when the underlying stock returns are discontinuous’, Journal of Financial Economics 5, 125–144.Google Scholar
Miyahara, Y. (1976), Canonical martingale measures of incomplete assets markets, in Watanabe, S., ed., ‘Proceedings of the Seventh Japan–Russia Symposium’, World Scientific, Singapore.Google Scholar
Miyahara, Y. (2011), Option Pricing In Incomplete Markets, Imperial College Press, London.Google Scholar
Moore, B. & Schaller, H. (1996), ‘Learning, regime switches, and equilibrium asset pricing dynamics’, Journal of Economic Dynamics and Control 20, 979–1006.Google Scholar
Øksendal, B. (2004), Stochastic Differential Equations, 5 edn, Springer-Verlag, Berlin.Google Scholar
Øksendal, B. & Sulem, A. (2007), Appplied Stochastic Control of Jump Diffusions, Springer-Verlag, Berlin.Google Scholar
Pham, H. (2010), Continuous-time Stochastic Control and Optimization with Financial Applications, Springer, Heidelberg.Google Scholar
Protter, P. (2004), Stochastic integration and Differential Equations, 2 edn, Springer-Verlag, Berlin.Google Scholar
Reisman, H. (1992), ‘Intertemporal arbitrage pricing theoryfrietz’, The Review of Financial Studies 5(9), 105–122.Google Scholar
Rietz, T. (1988), ‘The equity premium: A solution’, Journal of Monetary Economics 22(1), 117– 131.Google Scholar
Rodriguez, I. (2000), ‘A simple linear programming approach to gain, loss and asset pricing’, Topics in Theoretical Economics 2.Google Scholar
Schweizer, M. (1991), ‘Option hedging for semimartingales’, Stochastic Processes and Their Applications 37, 339–363.CrossRefGoogle Scholar
Schweizer, M. (2001), A guided tour through quadratic hedging approaches, in Jouini, E., ed., ‘Option Pricing, Interest Rates and Risk Mangement’, Cambridge University Press, Cambridge.Google Scholar
Sundaresan, S. (2009), Fixed Income Markets and Their Derivatives, 3 edn, Academic Press.Google Scholar
Tsai, T. & Wachter, J. (2015), ‘Disaster risk and its implications for asset pricing’, Annual Review of Financial Economics 7, 219–252.Google Scholar
Vasiček, O. (1977), ‘An equilibrium characterization of the term structure’, Journal of Financial Economics 5(3), 177–188.Google Scholar
Černý, A. (2003), ‘Generalised sharpe ratios and asset pricing in incomplete markets’, European Finance Review 7, 191–233.Google Scholar
Černý, A. & Hodges, S. (2002), The theory of good deal pricing in financial markets, in Geman, H., Madan, D., Pliska, S. & Vorst, T., eds, ‘Mathematical Finance – Bachelier Congress 2000’, Cambridge University Press, Cambridge.Google Scholar