Results 221 to 230 of about 10,047 (263)
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Local -estimation for jump-diffusion processes
Statistics & Probability Letters, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Yunyan +2 more
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2015
This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide ...
Carl Chiarella +2 more
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This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide ...
Carl Chiarella +2 more
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Point Processes and Jump Diffusions
2021The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area.
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Jump-diffusion processes as models for neuronal activity
Biosystems, 1997Aiming at an improvement of the existing neuronal models, we consider a mixed process ensuing from the superposition of continuous diffusions and of Poisson time-distributed sequence of impulses and focus our attention on the moments of the firing time.
M T, Giraudo, L, Sacerdote
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Quanto option pricing with a jump diffusion process
Communications in Statistics - Simulation and Computation, 2019This paper proposes a dynamic model for the spot foreign exchange rate which is governed by a standard Brownian motion and a stationary compound Poisson process in the domestic-real world.
Wenhan Li +3 more
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Calculations of Greeks for Jump Diffusion Processes
Mediterranean Journal of Mathematics, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Neural Conformal Inference for jump diffusion processes
Journal of EconometricszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hyeong Jin Hyun, Xiao Wang
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Dynamic Asset Allocation with Jump-Diffusion Processes
2019 15th International Conference on Computational Intelligence and Security (CIS), 2019This paper study the problem of optimization and equilibrium. Supposing that risk assets pay continuous dividend regarded as the function of time. It is established that the behavior model of the stock pricing process is jump-diffusion driven by a nonexplosive counting process.
Yingchun Zheng +2 more
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A Hyper-Erlang Jump-Diffusion Process and Applications in Finance
Journal of Systems Science and Complexity, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yinghui Dong, Min Han
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Minimal martingale measures for jump diffusion processes
Journal of Applied Probability, 2004We consider an incomplete market model whose stock price fluctuation is given by a jump diffusion process. For this model, we calculate the density process of the minimal martingale measure. Also, we state the relation to a locally risk-minimizing strategy.
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