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On the cumulant transforms for Hawkes processes
Published online by Cambridge University Press: 23 February 2023
Abstract
We consider the asset price as the weak solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale whose predictable compensator follows shot-noise and Hawkes processes. In this framework, we discuss the Esscher martingale measure where the conditions for its existence are detailed. This generalizes certain relationships not yet encountered in the literature.
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- © The Author(s), 2023. Published by Cambridge University Press on behalf of Applied Probability Trust