{"paper":{"title":"Structure Preserving Equivalent Martingale Measures for $\\mathscr{H}$-SII Models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"David Criens","submitted_at":"2016-06-08T15:05:41Z","abstract_excerpt":"In this article we relate the set of structure preserving equivalent martingale measures $(\\mathcal{M})$ for financial models driven by semimartingales with conditionally independent increments to a set of measurable and integrable functions $(\\mathscr{Y})$. More precisely, we prove that $(\\mathcal{M}\\not = \\emptyset)$ if, and only if, $(\\mathscr{Y}\\not = \\emptyset)$, and connect the sets $(\\mathcal{M})$ and $(\\mathscr{Y})$ to the semimartingale characteristics of the driving process. As examples we consider integrated L\\'evy models with independent stochastic factors and time-changed L\\'evy m"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1606.02593","kind":"arxiv","version":4},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}