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4 results

  • 19 - A General Jump-Diffusion Model

  • from Part V - Applications in Financial Economics
  • Tomas Björk, Stockholm School of Economics
  • Book:
    Point Processes and Jump Diffusions
    Published online:
    27 May 2021
    Print publication:
    17 June 2021, pp 206-219

  • Summary

    Here we study a fairly general jump–diffusion price process. We investigate the existence of equivalent martingale meaures, derive the Hansen–Jagannathan bounds, and extend the theory to include dividends. Completeness questions are discussed in some detail, and we also develop the theory for change of numeraire.

  • 16 - Basic Arbitrage Theory

  • from Part V - Applications in Financial Economics
  • Tomas Björk, Stockholm School of Economics
  • Book:
    Point Processes and Jump Diffusions
    Published online:
    27 May 2021
    Print publication:
    17 June 2021, pp 173-187

  • Summary

    This chapter contains an introduction to financial economics, giving the reader the necessary background for the rest of the text. It coversportfolio theory, arbitrage theory, martingale measures, change of numeraire, stochastic discount factors, Hansen–Jagannathan bounds, dividends and consumption.