Results 11 to 20 of about 9,750 (263)
Stability Properties of Constrained Jump-Diffusion Processes
Electronic Journal of Probability, 2002 We consider a class of jump-diffusion processes, constrained to a polyhedral cone $G\subset\R^n$, where the constraint vector field is constant on each face of the boundary. The constraining mechanism corrects for ``attempts'' of the process to jump outside the domain. Under Lipschitz continuity of the Skorohod map , it is known that there is a cone \
Atar, Rami, Budhiraja, Amarjit
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Doubly perturbed jump-diffusion processes
Journal of Mathematical Analysis and Applications, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Mathematics, 2022 This research is concerned with developing a generalised diffusion equation capable of describing diffusion processes driven by underlying stress-redistributing type events.
Josiah D. Cleland, Martin A. K. Williams
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Detecting jumps from Lévy jump diffusion processes☆ [PDF]
Journal of Financial Economics, 2008 Abstract Recent asset-pricing models incorporate jump risk through Levy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Levy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics ...
Suzanne S. Lee, Jan Hannig
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Convergence of hitting times for jump-diffusion processes
Modern Stochastics: Theory and Applications, 2015 We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps.
Georgiy Shevchenko
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Explicit Solution Processes for Nonlinear Jump-Diffusion Equations [PDF]
Journal of Nonlinear Mathematical Physics, 2021 Jump-diffusion equations with compound Poisson processes are often used to model financial data with spiky behavior. As many models are nonlinear, it is interesting to obtain linearization criteria together with the linearizing transformations, if any. Furthermore, the method of stochastic integrating factors is presented to solve linear jump-diffusion
Ünal, Gazanfer +2 more
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A Monte Carlo Approach to Bitcoin Price Prediction with Fractional Ornstein–Uhlenbeck Lévy Process
Forecasting, 2022 Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price ...
Jules Clément Mba +2 more
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Density approximations for multivariate affine jump-diffusion processes [PDF]
Journal of Econometrics, 2011 We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments.
Damir FILIPOVIC +2 more
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APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES [PDF]
International Journal of Theoretical and Applied Finance, 2015 We consider the problem of hedging a European-type option in a market where asset prices have jump-diffusion dynamics. It is known that markets with jumps are incomplete and that there are several risk-neutral measures one can use to price and hedge options. In order to address these issues, we approximate such a market by discretizing the jumps in an
Karl Mina, Gerald Cheang, Carl Chiarella
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Option Pricing with Stochastic Volatility and Jump Diffusion Processes [PDF]
Theoretical and Applied Economics, 2006 Option pricing by the use of Black Scholes Merton (BSM) model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of ...
Radu Lupu
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