搜索结果: 1-14 共查到“Jump diffusion”相关记录14条 . 查询时间(0.078 秒)
Nonparametric Estimation of Second-Order Jump-Diffusion Model
Second-order jump-diffusion N-W estimator Weak consistency
2011/7/6
We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalit...
Multilevel Monte Carlo method for jump-diffusion SDEs
Multilevel Monte Carlo method jump-diffusion SDEs expected payoff jump rates
2011/7/4
We investigate the extension of the multilevel Monte Carlo path
simulation method to jump-diffusion SDEs. We consider models with
finite rate activity , using a jump-adapted discretisation in which ...
Utility based pricing and hedging of jump diffusion processes with a view to applications
pricing hedging of jump diffusion processes marginal optimal hedge
2011/7/4
We discuss utility based pricing and hedging of jump di usion pro-
cesses with emphasis on the practical applicability of the framework. We
point out two diculties that seem to limit this applicabi...
Density Approximations for Multivariate Affine Jump-Diffusion Processes
Affine Processes Asymptotic Expansion Density Approximation
2011/7/25
Abstract: 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 Hi...
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes Poisson point processes L´ evy processes HJB PIDE policy improvement parabolic PDE classical solutions viscosity solutions.
2011/3/23
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...
Two-sided estimates for stock price distribution densities in jump-diffusion models
Stochastic volatility models Jump-diffusion models Stock
2010/10/20
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Simila...
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Basket options pricing local volatility jump-diffusion model forward PIDE
2010/10/19
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We deri...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
option pricing jump diffusion models
2010/10/18
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a par...
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
On first-passage times for one-dimensional jump-diffusion processes
Jump-diffusion process exit probability first-crossing time
2009/9/22
Some problems of first-crossing times over two time-
-dependent boundaries lor one-dimensional jump-difiusion processes
are considered. The moments of the first-crossing times over each
boundary ar...
A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
stochastic target problem jump diffusion hedging problem large investors
2009/3/23
Let Z(t,z) be a Rd-valued controlled jump diffusion starting from the point z at time t. The aim of this paper is to characterize the set V(t) of initial conditions z such that Z(t,z) can be driven in...
Jump-Diffusion Risk-Sensitive Asset Management
Jump-Diffusion Risk-Sensitive Asset Management
2010/11/1
This paper considers a portfolio optimization problem in which asset prices arer epresented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxilia...
Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
pricing formulas diffusion models the exponential Vasicek model
2010/12/13
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and...