Approximation of jump diffusions in finance and economics

DOI10.1007/S10614-006-9066-YzbMATH Open1161.91384OpenAlexW1989866077MaRDI QIDQ2642601FDOQ2642601

Authors: Nicola Bruti-Liberati, Eckhard Platen 

Publication date: 17 August 2007

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp176.pdf

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zbMATH Keywords

SimulationWeak convergenceStrong convergenceJump-diffusion processesBenchmark approachDiscrete time approximationGrowth Optimal portfolio

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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Cited In (23)

• Simulating risk measures via asymptotic expansions for relative errors
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• 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
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• Feynman-Kac for functional jump diffusions with an application to credit value adjustment
• Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
• Structural estimation of jump-diffusion processes in macroeconomics
• On weak predictor-corrector schemes for jump-diffusion processes in finance
• First Order Strong Approximations of Jump Diffusions
• Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
• 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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