Convince yourself that the characteristic function of the compensated compound Poisson-process is given by 4xc(1, u) =

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Convince yourself that the characteristic function of the compensated compound Poisson-process is given by

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 26, 2018 09:55 AM

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Convince yourself that the characteristic function of the compensated compound Poisson-process is given by 4xc(1, u) =

Question:

4xc(1, u) = exp(At L (eka iux)f(v)dy) %3D -0-

Step by Step Answer:

Recall that X C t X t tEY and thus holds But the first expec...View the full answer

A First Course in Quantitative Finance

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