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Piecewise linear processes with Poisson-modulated exponential switching times

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dc.creatorDi Crescenzo A.spa
dc.creatorMartinucci B.spa
dc.creatorRatanov N.spa
dc.date.accessioned2020-05-25T23:56:55Z
dc.date.available2020-05-25T23:56:55Z
dc.date.created2019spa
dc.description.abstractWe 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.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1002/mma.5683
dc.identifier.issn10991476
dc.identifier.issn01704214
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/22561
dc.language.isoengspa
dc.publisherJohn Wiley and Sons Ltdspa
dc.relation.citationEndPage4626
dc.relation.citationIssueNo. 13
dc.relation.citationStartPage4606
dc.relation.citationTitleMathematical Methods in the Applied Sciences
dc.relation.citationVolumeVol. 42
dc.relation.ispartofMathematical Methods in the Applied Sciences, ISSN:10991476, 01704214, Vol.42, No.13 (2019); pp. 4606-4626spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85067418362&doi=10.1002%2fmma.5683&partnerID=40&md5=cd6adda34521688479d85d7d76d1c78bspa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordCommercespa
dc.subject.keywordFinancial marketsspa
dc.subject.keywordPoisson distributionspa
dc.subject.keywordRisk assessmentspa
dc.subject.keywordTelegraphspa
dc.subject.keywordExponential distributionsspa
dc.subject.keywordMartingalespa
dc.subject.keywordPiecewise linearspa
dc.subject.keywordRenewal processspa
dc.subject.keywordRisk-neutral measurespa
dc.subject.keywordPiecewise linear techniquesspa
dc.subject.keywordMartingalespa
dc.subject.keywordPiecewise linear processspa
dc.subject.keywordPoisson-modulated exponential distributionspa
dc.subject.keywordRenewal processspa
dc.subject.keywordRisk neutral measurespa
dc.subject.keywordTelegraph processspa
dc.titlePiecewise linear processes with Poisson-modulated exponential switching timesspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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