Structure Preserving Equivalent Martingale Measures for   $\mathscr{H}$-SII Models
  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 models and derive mild conditions for $(\mathcal{M} \not = \emptyset)$. 
David Criens
math.PR