Financial Modelling with Jump Processes
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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)
The book is devoted to the theoretical, numerical and empirical research on the use of jump processes in financial modelling. After a short introduction to financial modelling beyond Brownian motion, in the first part (Chapters 2--5) the authors present a concise introduction to the mathematical theory of Lévy processes and related topics. The simulation and estimation of models with jumps are studied in Chapters 6 and 7. The third and longest part (Chapters 8--13) deals with the option pricing models based on stochastic calculus for jump processes. The models with jumps which are not in the exponential Lévy class are examined in the last part of the book. Throughout it, the authors offer significant contributions to the levels of mathematical details used to treat topics such as these. This book provides a very well organized and clearly presented content, being based on pertinent references which include important results that belong to the authors. The volume will be useful for the students, researchers in applied mathematics and quantitative finance as well as those interested in the study and the implications of discontinuous stochastic models and not only.
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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
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