ПРЕОБРАЗОВАНИЕ ЭШЕРА И ДИСКОНТИРОВАНИЕ

 
23.11.2018
 
Факультет экономики
 
Борис Лифшиц

The chief field of Fredrik Esscher's activity was Life Insurance. Esscher's name is associated with his method for the approximation of a distribution function.

The Esscher transform can be extended to a certain class of stochastic processes, which includes some of those commonly used to model stock-price movements.

The chosen modified probability is an equivalent measure, with respect to which the prices of securities are expected discounted payouts.

Image: M.C.Escher, "Reptiles" (1943)