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Pure-jump semimartingales

Černý, A. and Ruf, J. (2019). Pure-jump semimartingales. City, University of London.

Abstract

A taxonomic hierarchy of pure-jump semimartingales is introduced. This hierarchy contains, in particular, the class of sigma-locally finite variation pure-jump processes. The members of this family can be explicitly characterized in terms of the predictable compensators of their jump measures. This family is also closed under stochastic integration and smooth transformations.

Publication Type: Monograph (Working Paper)
Subjects: Q Science > QA Mathematics
Departments: Cass Business School > Finance
Related URLs:
URI: https://openaccess.city.ac.uk/id/eprint/22908
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