Description: This paper shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. From the Transactions of Society of Actuaries 1994, Vol. 46.

Description: In this paper, the relationship of convexity to the assumption of parallel shifts is explored, and new convexity measures are developed to reflect nonparallel shifts. These new measures can differ dramatically from the traditional values, providing insight into when convexity does not have to be good and when it does.