Approximation of jump diffusions in finance and economics
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Cited in
(23)- Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
- Simulating risk measures via asymptotic expansions for relative errors
- The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
- Weak order for the discretization of the stochastic heat equation driven by impulsive noise
- Strong approximations of stochastic differential equations with jumps
- Numerical solution of stochastic differential equations with jumps in finance
- A PDE approach to jump-diffusions
- Diffusion approximation of Lévy processes with a view towards finance
- Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients
- Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance
- Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Numerical solution of jump-diffusion LIBOR market models
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- Feynman-Kac for functional jump diffusions with an application to credit value adjustment
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- On weak predictor-corrector schemes for jump-diffusion processes in finance
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- First Order Strong Approximations of Jump Diffusions
- Compensated stochastic theta methods for stochastic differential delay equations with jumps
- Portfolio rebalancing error with jumps and mean reversion in asset prices
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