英文标题：
《L\\\'evy-Ito Models in Finance》
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作者：
George Bouzianis, Lane P. Hughston, Sebastian Jaimungal, Leandro
  S\\\'anchez-Betancourt
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最新提交年份：
2021
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英文摘要：
  We present an overview of the broad class of financial models in which the prices of assets are L\\\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure. The Poisson random measure is associated with an $n$-dimensional L\\\'evy process. Each model consists of a pricing kernel, a money market account, and one or more risky assets. We show how the excess rate of return above the interest rate can be calculated for risky assets in such models, thus showing the relationship between risk and return when asset prices have jumps. The framework is applied to a variety of asset classes, allowing one to construct new models as well as interesting generalizations of familiar models.
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中文摘要：
我们概述了一类广泛的金融模型，其中资产价格是由一个n$维布朗运动和一个独立的泊松随机测度驱动的Levy-Ito过程。泊松随机测度与一个$n$维的L趵vy过程相关联。每个模型由一个定价核心、一个货币市场账户和一个或多个风险资产组成。我们展示了如何在此类模型中计算风险资产高于利率的超额回报率，从而展示了资产价格上涨时风险与回报之间的关系。该框架适用于各种资产类别，允许构建新模型以及熟悉模型的有趣概括。
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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
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