Search

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
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation
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
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation
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.

17 - Poisson-Driven Stock Prices
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 188-197
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation
Summary

We present an introductory example featuring a stock price process driven by a Poisson process. This is analyzed in some detail using both the classical Black–Scholes and the modern martingale technique.

18 - The Simplest 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 198-205
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation
Summary

In this chapter we study the simplest possible jump–diffusion asset price model, and analyze it using classical and martingale methods.

Search Results