Autore
Roncoroni, Andrea

Titolo
Change of numeraire for affine arbitrage pricing models driven by multifactor market processes
Periodico
International Center for Economics Research, Torino. ICER - Working papers series
Anno: 2001 - Fascicolo: 22 - Pagina iniziale: 1 - Pagina finale: 33

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.



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