Results 11 to 20 of about 15,168 (264)
Hierarchical Markov Model in Life Insurance and Social Benefit Schemes
Risks, 2018 We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance, unemployment/disability benefits, and retirement benefits. To do so, we used a four-state Markov chain with multiple decrements.
Jiwook Jang, Siti Norafidah Mohd Ramli
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Estimating functions for jump–diffusions [PDF]
Stochastic Processes and their Applications, 2019 Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of particular concern.
Nina Munkholt Jakobsen +1 more
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Mathematics, 2023 The existing estimators for the drift coefficient in the diffusion model with jumps involve jump components and possess larger boundary error. How to effectively estimate the drift function is an important issue that faces challenges and has theoretical ...
Yuping Song +4 more
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LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
Mathematical Finance, 2007 We aim at accommodating the existing affine jump‐diffusion and quadratic models under the same roof, namely the linear‐quadratic jump‐diffusion (LQJD) class. We give a complete characterization of the dynamics of this class by stating explicitly the structural constraints, as well as the admissibility conditions.
Cheng, Peng, Scaillet, Olivier
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Consistency Problems for Jump‐diffusion Models [PDF]
Applied Mathematical Finance, 2005 In this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusion models and generalized Heath-Jarrow-Morton (HJM) models is bridged. By applying the drift condition for a generalized arbitrage-free HJM model, the consistency condition ...
Li Chen +2 more
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Power Exchange Option with a Hybrid Credit Risk under Jump-Diffusion Model
Mathematics, 2021 In this paper, we study the valuation of power exchange options with a correlated hybrid credit risk when the underlying assets follow the jump-diffusion processes.
Junkee Jeon, Geonwoo Kim
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Nonlinear Filtering for Jump Diffusion Observations [PDF]
Advances in Applied Probability, 2012 We deal with the filtering problem of a general jump diffusion process,X, when the observation process,Y, is a correlated jump diffusion process having common jump times withX. In this setting, at any timetthe σ-algebraprovides all the available information aboutXt, and the central goal is to characterize the filter, πt, which is the conditional ...
CECI, Claudia, COLANERI, KATIA
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Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model [PDF]
SIAM Journal on Control and Optimization, 2013 In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and investment constraints. In this case, the HJB equation is a partial integro-differential equation (PIDE).
Mark Davis, Sebastien Lleo
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Including Jumps in the Stochastic Valuation of Freight Derivatives
Mathematics, 2021 The spot freight rate processes considered in the literature for pricing forward freight agreements (FFA) and freight options usually have a particular dynamics in order to obtain the prices.
Lourdes Gómez-Valle +1 more
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An exchange rate model where the fundamentals follow a jump-diffusion process
Cogent Economics & Finance, 2022 This paper presents some models of exchange rate with jumps, namely jump diffusion exchange rate models. Jump diffusion models are quite common in computational and theoretical finance.
Jean René Cupidon, Judex Hyppolite
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