Abstract
This article considers the pricing of equity swaps with constant notional principal in an incomplete market. The market is driven by a general marked point process as well as by a standard multidimensional Wiener process. We derive the swap values using martingale methods and the technique of convexity correction. Our results are consistent with the results of LiaoXX1Wang (2003), but achieved in a different way, which enables us to extend their generalized formula for pricing equity swaps to the point process case.