First jump time in simulation of sampling trajectories of affine jump-diffusions driven by -stable white noise

DOI10.3934/CPAA.2020184MaRDI QIDQ2191844zbMATH OpenOpenAlexFDO

Authors Jiao Song, Fangzhou Huang, Jiang-Lun Wu

Publication date 26 June 2020

Published in Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/cpaa.2020184

zbMATH Keywords

\(\alpha\)-stable processesaffine coefficientsmultivariate Lagrange interpolationsimulationstochastic differential equations

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Infinitely divisible distributions; stable distributions (60E07) Sample path properties (60G17) Jump processes on general state spaces (60J76)

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Cites work

• A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by -stable white noise
• A theory of the term structure of interest rates
• Affine processes and applications in finance
• An equilibrium characterization of the term structure
• Exploring mispricing in the term structure of CDS spreads
• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• It only takes a few moments to hedge options
• Modeling uncertainty. An examination of stochastic theory, methods, and applications
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Stable distributions in the Black–Litterman approach to asset allocation
• The Pareto-Levy Law and the Distribution of Income
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions

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• A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by -stable white noise

Describes a project that uses

Uses Software

• Matlab

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