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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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Pricing European-Style Options in General Lévy Process with Stochastic Interest Rate
Mathematics, 2020 This paper extends the traditional jump-diffusion model to a comprehensive general Lévy process model with the stochastic interest rate for European-style options pricing.
Xiaoyu Tan, Shenghong Li, Shuyi Wang
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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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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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Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
Journal of Computational and Applied Mathematics, 2015 This paper has been withdrawn by the author due to a private ...
Zhixin Yang 0002 +2 more
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Entropy, 2023 The paper is dedicated to modeling electricity spot prices and pricing forward contracts on energy markets. The underlying dynamics of electricity spot prices is governed by a stochastic mean reverting diffusion with jumps having mixed-exponential ...
Piotr Nowak, Michał Pawłowski
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Recursive Utility and Jump-Diffusions [PDF]
SSRN Electronic Journal, 2014 We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk in addition to risk aversion related to the continuous part. We also consider a version that allows marginal utility to depend on past
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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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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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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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