Results 231 to 240 of about 10,047 (263)

Estimation of Jump-Diffusion Processes Based on Indirect Inference

IFAC Proceedings Volumes, 1998
Jump-diffusion processes have been widely used to model financial time series to reflect discontinuity of asset returns. However, difficulty involved in the estimation of general jump-diffusion processes has prevented their implementation in empirical applications.
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Stability for multidimensional jump-diffusion processes

Proceedings of 2004 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.04EX826), 2005
The aim of this work is to obtain sufficient conditions for stability of multidimensional jump-diffusion processes in the sense of exponential stability. The technique employed is to construct appropriate Lyapunov functions.
null Qi-Min Zhang, null Xi-Ning Li
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On Jump-Diffusion Processes for Asset Returns

SSRN Electronic Journal, 2000
A common way to incorporate discontinuities in asset returns is to add a Poisson process to a Brownian motion. The jump-diffusion process provides probability distributions that typically fit market data better than those of the simple diffusion process.
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Approximation of A Jump-Diffusion Process [PDF]

, 2004
We present a weak convergence of a discrete time process to a jump-diffusion process as the length of sampling interval, h, goes to zero. There is an example given for the weak convergency with using GARCH (1,1)-M model by Engle and Bollerslev(1986).
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Stochastic Processes and Control for Jump-Diffusions

SSRN Electronic Journal, 2007
An applied compact introductory survey of Markov stochastic processes and control in continuous time is presented. The presentation is in tutorial stages, beginning with deterministic dynamical systems for contrast and continuing on to perturbing the deterministic model with diffusions using Wiener processes.
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Recurrence and transience for jump–diffusion processes

Stochastic Analysis and Applications, 2000
The purpose of this work is to obtain sufficient conditions for transience and recurrence of multidimensional jump–diffusion processes, which are driven by Brownian motion and Poisson random measure.
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Implicit–explicit numerical schemes for jump–diffusion processes

Calcolo, 2007
The authors consider the numerical solution of the Cauchy problem for a parabolic integro-differential equation (PIDE) in one spatial dimension. Such equations arise in applications in financial mathematics with Lévy processes. The focus here is on the time discretization of the stiff system of ordinary differential equations resulting from a spatial ...
Briani M, Natalini R, Russo G
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On the Strong Approximation of Jump-Diffusion Processes [PDF]

, 2005
In financial modelling, filtering and other areas the underlying dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, there is a need for the systematic use of discrete time approximations in corresponding ...
Nicola Bruti-Liberati, Eckhard Platen
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Levy process for jump diffusion model

In this project, we study some properties of the Lévy process for a jump diffusion model and apply them to a problem in financial mathematics. We formulate the call option price in the situation where the underlying asset (share price) has higher than normal volatility and is considered on the basis of the Black-Scholes model.
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A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes

INFORMS Journal on Computing, 2021
Ning Cai, Xuewei Yang
exaly