英文标题：
《Martingale property of exponential semimartingales: a note on explicit
conditions and applications to financial models》
---
作者：
David Criens, Kathrin Glau, Zorana Grbac
---
最新提交年份：
2016
---
英文摘要：
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very convenient in financial modeling in general. Especially it allows us to carefully discuss the question of well-definedness of semimartingale Libor models, whose construction crucially relies on a sequence of measure changes.
---
中文摘要：
我们给出了一类广泛的指数半鞅的真鞅性质的显式充分条件。我们用半鞅特征来表示这些条件。一般来说，这在财务建模中非常方便。特别是它允许我们仔细讨论半鞅Libor模型的良好定义问题，它的构造在很大程度上依赖于一系列度量变化。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->