Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes

Andrea Roncoroni ()

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: We derive a general formula for the change of numéraire in multifactor ane arbitrage free models driven by marked point processes. As a complement, we present both ane structures and change of measures in the general setting of jump diusions. This provides for a comprehensive view on the subject.

Pages: 35 pages
Date: 2001-08
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:22-2001

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