Financial Modelling with Jump Processes
From MaRDI portal
Publication:4821616
DOI10.1201/9780203485217zbMath1052.91043OpenAlexW1499969990WikidataQ96621221 ScholiaQ96621221MaRDI QIDQ4821616
Publication date: 20 October 2004
Full work available at URL: https://doi.org/10.1201/9780203485217
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (only showing first 100 items - show all)
Nonparametric estimation for Lévy processes from low-frequency observations ⋮ Jump-adapted discretization schemes for Lévy-driven SDEs ⋮ The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach ⋮ Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model ⋮ Individualism in plant populations: using stochastic differential equations to model individual neighbourhood-dependent plant growth ⋮ A numerical analysis of American options with regime switching ⋮ Multivariate supOU processes ⋮ Quantile inference for heteroscedastic regression models ⋮ Vectors of two-parameter Poisson-Dirichlet processes ⋮ Existence, uniqueness and stability of mild solutions for time-dependent stochastic evolution equations with Poisson jumps and infinite delay ⋮ Quasi Ornstein-Uhlenbeck processes ⋮ Quasi-likelihood analysis for the stochastic differential equation with jumps ⋮ Time-changed Poisson processes ⋮ Option pricing under a gamma-modulated diffusion process ⋮ Convergence rate of numerical solutions to SFDEs with jumps ⋮ Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market ⋮ Insider models with finite utility in markets with jumps ⋮ Option pricing in subdiffusive Bachelier model ⋮ On Kolmogorov equations for anisotropic multivariate Lévy processes ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ First passage time law for some Lévy processes with compound Poisson: existence of a density ⋮ Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process ⋮ Competing particle systems evolving by interacting Lévy processes ⋮ A Wiener-Hopf Monte Carlo simulation technique for Lévy processes ⋮ The discontinuous Galerkin method for fractional degenerate convection-diffusion equations ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model ⋮ Parameter estimation of a bivariate compound Poisson process ⋮ An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process ⋮ Hedging electricity swaptions using partial integro-differential equations ⋮ On \(L_p\)-estimates for a class of non-local elliptic equations ⋮ Maximum likelihood estimation of the double exponential jump-diffusion process ⋮ Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme ⋮ Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims ⋮ Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method ⋮ Quantile estimation for Lévy measures ⋮ Multi-scaling of moments in stochastic volatility models ⋮ Calculations of greeks for jump diffusion processes ⋮ A critical fractional equation with concave-convex power nonlinearities ⋮ Modeling mortality and pricing life annuities with Lévy processes ⋮ A new optimal portfolio selection model with owner-occupied housing ⋮ Existence of solutions and approximate controllability of impulsive fractional stochastic differential systems with infinite delay and Poisson jumps. ⋮ Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise ⋮ On nonlocal quasilinear equations and their local limits ⋮ A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models ⋮ Existence and multiplicity of positive solutions for fractional Schrödinger equations with critical growth ⋮ Majorization, 4G theorem and Schrödinger perturbations ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Fast numerical valuation of options with jump under Merton's model ⋮ A superconvergent partial differential equation approach to price variance swaps under regime switching models ⋮ Exploring the dynamics of financial markets: from stock prices to strategy returns ⋮ Local well-posedness for the tropical climate model with fractional velocity diffusion ⋮ Periodic solutions for a superlinear fractional problem without the Ambrosetti-Rabinowitz condition ⋮ Generalized fractional Laplace motion ⋮ Clustered Lévy processes and their financial applications ⋮ A moment-matching Ferguson \& Klass algorithm ⋮ Series representations for multivariate time-changed Lévy models ⋮ Infinitely many radial and non-radial solutions for a fractional Schrödinger equation ⋮ Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations ⋮ Local risk-minimization for Barndorff-Nielsen and Shephard models ⋮ On tamed Milstein schemes of SDEs driven by Lévy noise ⋮ Consumption optimization for recursive utility in a jump-diffusion model ⋮ Representation of solutions and large-time behavior for fully nonlocal diffusion equations ⋮ A Hopf's lemma and a strong minimum principle for the fractional \(p\)-Laplacian ⋮ Monotonicity of solutions for some nonlocal elliptic problems in half-spaces ⋮ Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ Pricing variance swaps for stochastic volatilities with delay and jumps ⋮ Entropy solution theory for fractional degenerate convection-diffusion equations ⋮ Equilibrium preference free pricing of derivatives under the generalized beta distributions ⋮ Pricing of the time-change risks ⋮ The speed of convergence of the threshold estimator of integrated variance ⋮ Two refreshing views of fluctuation theorems through kinematics elements and exponential martingale ⋮ Asymptotic results for time-changed Lévy processes sampled at hitting times ⋮ On strong solutions for positive definite jump diffusions ⋮ A posteriori error analysis for a class of integral equations and variational inequalities ⋮ Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes ⋮ Parametric estimation of a bivariate stable Lévy process ⋮ Numerical methods for a class of jump-diffusion systems with random magnitudes ⋮ On numerical density approximations of solutions of SDEs with unbounded coefficients ⋮ Multiplicity results for the fractional Laplacian in expanding domains ⋮ On a two-dimensional risk model with time-dependent claim sizes and risky investments ⋮ Pricing American options under multi-states: a radial basis collocation approach ⋮ Bistable behaviour of a jump-diffusion driven by a periodic stable-like additive process ⋮ Lévy copulae for financial returns ⋮ Infinitely many solutions of the nonlinear fractional Schrödinger equations ⋮ On some fractional equations with convex-concave and logistic-type nonlinearities ⋮ Model risk and discretisation of locally risk-minimising strategies ⋮ Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions ⋮ Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions ⋮ Statistical specification of jumps under semiparametric semimartingale models ⋮ Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions ⋮ Threshold bipower variation and the impact of jumps on volatility forecasting ⋮ Threshold estimation of Markov models with jumps and interest rate modeling ⋮ Realized Laplace transforms for estimation of jump diffusive volatility models ⋮ On the least squares estimation of multiple-regime threshold autoregressive models ⋮ Hedging of defaultable claims in a structural model using a locally risk-minimizing approach ⋮ The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques ⋮ Regularity and nonexistence of solutions for a system involving the fractional Laplacian ⋮ Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
This page was built for publication: Financial Modelling with Jump Processes
