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Matches in SemOpenAlex for { <https://semopenalex.org/work/W2016370513> ?p ?o ?g. }

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• W2016370513 startingPage "397" @default.
• W2016370513 abstract "In this paper two kinds of cumulant processes are studied in a general setting. These processes generalize the cumulant of an infinitely divisible random variable and they appear as the exponential compensator of a semimartingale. In a financial context cumulant processes lead to a generalized Esscher transform. We also provide some new criteria for uniform integrability of exponential martingales." @default.
• W2016370513 created "2016-06-24" @default.
• W2016370513 creator A5027547292 @default.
• W2016370513 creator A5080428457 @default.
• W2016370513 date "2002-10-01" @default.
• W2016370513 modified "2023-10-09" @default.
• W2016370513 title "The cumulant process and Esscher's change of measure" @default.
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• W2016370513 doi "https://doi.org/10.1007/s007800200069" @default.
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