Financial Modelling with Jump Processes

DOI10.1201/9780203485217MaRDI QIDQ4821616zbMATH OpenOpenAlexWikidataFDO

Authors Rama Cont, Peter Tankov

Publication date 20 October 2004

Full work available at URL https://doi.org/10.1201/9780203485217

zbMATH Keywords

multidimensional and stochastic volatility models with jumpsstochastic process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Recommendations

• Jump-Diffusion Models Driven by Lévy Processes
• Mathematical finance
• Jump–Type Lévy Processes
• Mathematical methods for financial markets.
• Financial models with Lévy processes and volatility clustering.

Cited in

(only showing first 100 items - show all)

• Stochastic calculus for convoluted Lévy processes
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• On \(q\)-optimal martingale measures in exponential Lévy models
• A note on pasting conditions for the American perpetual optimal stopping problem
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimal time to change premiums
• Subordination, self-similarity, and option pricing
• Some explicit identities associated with positive self-similar Markov processes
• Fractional Laplacian phase transitions and boundary reactions: a geometric inequality and a symmetry result
• Maximum principle for stochastic differential games with partial information
• On first passage times of a hyper-exponential jump diffusion process
• Lévy-frailty copulas
• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
• Sequential calibration of options
• Consistency of general bootstrap methods for degenerate U-type and V-type statistics
• Auto-static for the people: risk-minimizing hedges of barrier options
• On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
• Small-time expansions for the transition distributions of Lévy processes
• Cox point processes driven by Ornstein-Uhlenbeck type processes
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
• The first passage event for sums of dependent Lévy processes with applications to insurance risk
• Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
• Pricing foreign equity option with stochastic volatility
• Stable continuous-time autoregressive process driven by stable subordinator
• Option pricing beyond Black-Scholes based on double-fractional diffusion
• Pricing turbo warrants under mixed-exponential jump diffusion model
• Multi-asset Black-Scholes model as a variable second class constrained dynamical system
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• Fractional Brownian motion time-changed by gamma and inverse gamma process
• New methods of simulating Lévy processes
• Tempered stable structural model in pricing credit spread and credit default swap
• A Lévy-driven rainfall model with applications to futures pricing
• Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
• Lévy processes and stochastic von Bertalanffy models of growth, with application to fish population analysis
• Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
• The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
• On the price of risk under a regime switching CGMY process
• Effects of jumps and small noise in high-frequency financial econometrics
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• Optimal asset liquidation with multiplicative transient price impact
• The existence and uniqueness of mild solutions to stochastic differential equations with Lévy noise
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• Finite element approximation for the fractional eigenvalue problem
• The effect of infrequent trading on detecting price jumps
• A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
• Multiplicity of positive solutions for fractional elliptic systems involving sign-changing weight
• An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
• A dimension reduction Shannon-wavelet based method for option pricing
• Fractional diffusion-type equations with exponential and logarithmic differential operators
• Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
• Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
• Analytic techniques for option pricing under a hyperexponential Lévy model
• Computation of market risk measures with stochastic liquidity horizon
• Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
• Cliquet option pricing with Meixner processes
• Black-Scholes in a CEV random environment
• Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
• Integrability conditions for compound random measures
• The existence and multiplicity of solutions of a fractional Schrödinger-Poisson system with critical growth
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
• Dynamic tax evasion with audits based on visible consumption
• Stochastic continuous time growth models that allow for closed form solutions
• Nonlinear filtering with correlated Lévy noise characterized by copulas
• Pure jump models for pricing and hedging VIX derivatives
• Oracle inequalities for the stochastic differential equations
• Wasserstein and total variation distance between marginals of Lévy processes
• Stabilization of the stochastic jump diffusion systems by state-feedback control
• Direct method of moving planes for logarithmic Laplacian system in bounded domains
• On fractional Schrödinger equation with periodic and asymptotically periodic conditions
• A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
• Limit theorems for local cumulative shock models with cluster shock structure
• The jump size distribution of the commodity spot price and its effect on futures and option prices
• Long-time behavior of a class of nonlocal partial differential equations
• Existence of solutions for asymptotically periodic fractional Schrödinger equation
• Selfdecomposability and selfsimilarity: a concise primer
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
• A multiplicative seasonal component in commodity derivative pricing
• Pricing of basket options in subdiffusive fractional Black-Scholes model
• Value function regularity in option pricing problems under a pure jump model
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
• Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
• Nehari-type ground state solutions for asymptotically periodic fractional Kirchhoff-type problems in \(\mathbb{R}^{N}\)
• Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
• Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
• Existence of solutions and approximate controllability of fractional nonlocal stochastic differential equations of order \(1<q\leq 2\) with infinite delay and Poisson jumps
• Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
• Risk parity for mixed tempered stable distributed sources of risk
• Nonparametric estimation for compound Poisson process via variational analysis on measures
• Symmetry of solutions for a fractional system
• Sticky processes, local and true martingales
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem
• Algorithms of finite difference for pricing American options under fractional diffusion models
• Weak dependence and GMM estimation of supOU and mixed moving average processes
• Timing portfolio strategies with exponential Lévy processes
• Tempered stable process, first passage time, and path-dependent option pricing
• European option pricing with transaction costs in Lévy jump environment
• On Schauder estimates for a class of nonlocal fully nonlinear parabolic equations
• A Hopf's lemma and the boundary regularity for the fractional \(p\)-Laplacian
• A priori bounds and existence result of positive solutions for fractional Laplacian systems
• Stable Lévy process delayed by tempered stable subordinator

This page was built for publication: Financial Modelling with Jump Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4821616)