Piecewise linear processes with Poisson-modulated exponential switching times

Antonio Di Crescenzo; Barbara Martinucci; Nikita Ratanov

doi:10.1002/mma.5683

Piecewise linear processes with Poisson-modulated exponential switching times

Antonio Di Crescenzo, Barbara Martinucci, Nikita Ratanov

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Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	4606-4626
Número de páginas	21
Publicación	Mathematical Methods in the Applied Sciences
Volumen	42
N.º	13
DOI	https://doi.org/10.1002/mma.5683
Estado	Publicada - sep. 15 2019

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Matemáticas General
Ingeniería General

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10.1002/mma.5683

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abstract = "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.",

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AB - 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.

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Piecewise linear processes with Poisson-modulated exponential switching times

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