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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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Relationships between Copper Futures Markets from the Perspective of Jump Diffusion
Mathematics, 2021 This paper analyzes the price correlation effect between domestic and foreign copper futures contracts. The VAR-BEKK-GARCH (1,1) spillover effect model and the BN-S class non-parametric model based on the jumping perspective are used.
Xue Jin +3 more
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A Jump-Diffusion Model for Option Pricing [PDF]
Management Science, 2000 Brownian motion and normal distribution have been widely used in the Black–Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal ...
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Convergence of the compensated split-step θ-method for nonlinear jump-diffusion systems
Advances in Difference Equations, 2017 In this paper, our aim is to develop a compensated split-step θ (CSSθ) method for nonlinear jump-diffusion systems. First, we prove the convergence of the proposed method under a one-sided Lipschitz condition on the drift coefficient, and global ...
Jianguo Tan, Weiwei Men
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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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On the exact simulation of (jump) diffusion bridges [PDF]
2015 Winter Simulation Conference (WSC), 2015 12 pages, 3 ...
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DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS [PDF]
International Journal of Theoretical and Applied Finance, 2018 In this paper, we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an extension of the well-known result by Alòs [(2012) A decomposition formula for option prices in the Heston model and applications to option pricing approximation, Finance and
Merino, Raúl +3 more
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Discrete Dynamics in Nature and Society, 2018 This paper proposes a second-order jump diffusion model to study the jump dynamics of stock market returns via adding a jump term to traditional diffusion model. We develop an appropriate maximum likelihood approach to estimate model parameters.
Tianshun Yan +2 more
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Subordinate Shares Pricing under Fractional-Jump Heston Model [PDF]
تحقیقات مالی, 2019 Objective: In this paper, while introducing Heston's model of stochastic variance, regarding the jump process and the long-term memory feature of prices, a new model for pricing subordinate shares is presented.
Omid Jenabi, Nazar Dahmardeh Ghaleno
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MathematicsJump-diffusion algorithms are applied to sampling from Bayesian posterior distributions. We consider a class of random sampling algorithms based on continuous-time jump processes.
Aaron Lanterman
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