Results 11 to 20 of about 45,709 (265)
CoRR, 2023 Markov jump processes are continuous-time stochastic processes with a wide range of applications in both natural and social sciences. Despite their widespread use, inference in these models is highly non-trivial and typically proceeds via either Monte Carlo or expectation-maximization methods.
Patrick Seifner, Ramsés J. Sánchez
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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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Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets
Econometrics, 2016 This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility ...
Xin Zhang, Donggyu Kim, Yazhen Wang
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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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Journal of Statistical Software, 2023 We introduce a Python library, called jumpdiff, which includes all necessary functions to assess jump-diffusion processes. This library includes functions which compute a set of non-parametric estimators of all contributions composing a jump-diffusion ...
Leonardo Rydin Gorjão +2 more
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Reciprocal Class of Jump Processes [PDF]
Journal of Theoretical Probability, 2015 Processes having the same bridges as a given reference Markov process constitute its {\it reciprocal class}. In this paper we study the reciprocal class of compound Poisson processes whose jumps belong to a finite set $\mathcal{A} \subset \mathbb{R}^d$.
Conforti, Giovanni +2 more
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Probabilistic Resistive Switching Device Modeling Based on Markov Jump Processes
IEEE Access, 2021 In this work, a versatile mathematical framework for multi-state probabilistic modeling of Resistive Switching (RS) devices is proposed for the first time. The mathematical formulation of memristor and Markov jump processes are combined and, by using the
Vasileios Ntinas +2 more
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, 2022 A jump process is a type of stochastic process that has discrete movements, called jumps, with random arrival times, rather than continuous movement, typically modelled as a simple or compound Poisson process.
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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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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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