Transform Analysis and Asset Pricing for Affine Jump-diffusions

DOI10.1111/1468-0262.00164zbMath1055.91524OpenAlexW3123321876MaRDI QIDQ4530988

Kenneth J. Singleton, Jun Pan, J. Darrell Duffie

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w7105.pdf

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities, Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes, Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility, Econometric specification of stochastic discount factor models, Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan, Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility, Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?, Option valuation with conditional skewness, Determining and benchmarking risk neutral distributions implied from option prices, Estimation of continuous-time stochastic volatility models with jumps using high-frequency data, Closed-form solutions for guaranteed minimum accumulation and death benefits, Estimating jump-diffusions using closed-form likelihood expansions, Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes, Stability analysis of Riccati differential equations related to affine diffusion processes, Multi-layer model of correlated energy prices, Continuous time one-dimensional asset-pricing models with analytic price-dividend functions, A fast calibrating volatility model for option pricing, Variance swap with mean reversion, multifactor stochastic volatility and jumps, Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions, An explicitly solvable Heston model with stochastic interest rate, On calibration of stochastic and fractional stochastic volatility models, Consistent variance curve models, Testing for volatility jumps in the stochastic volatility process, Pricing VIX options with stochastic volatility and random jumps, Calibration and hedging under jump diffusion, Interest rate theory and geometry, Mean-variance hedging with oil futures, Lookback options and dynamic fund protection under multiscale stochastic volatility, Consistent modeling of S\&P 500 and VIX derivatives, Portfolio choice under transitory price impact, Existence of financial equilibria in continuous time with potentially complete markets, Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model, Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\), Delta-gamma hedging of mortality and interest rate risk, Empirical likelihood inference for diffusion processes with jumps, A recursive approach to mortality-linked derivative pricing, Statistical properties and economic implications of jump-diffusion processes with shot-noise effects, Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions, Valuing options in Heston's stochastic volatility model: another analytical approach, Modeling chinese stock returns with stable distribution, Small-time asymptotics for fast mean-reverting stochastic volatility models, Simulated likelihood inference for stochastic volatility models using continuous particle filtering, A note on first-passage times of continuously time-changed Brownian motion, Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process, Hermite polynomial based expansion of European option prices, Maximum likelihood estimation of partially observed diffusion models, Affine fractional stochastic volatility models, Taming animal spirits: risk management with behavioural factors, Mutual excitation in Eurozone sovereign CDS, Time-varying jump tails, Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility, A note on scale functions and the time value of ruin for Lévy insurance risk processes, An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts, Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions, Valuation of guaranteed annuity options using a stochastic volatility model for equity prices, Pricing of discount bonds with a Markov switching regime, Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps, Gamma expansion of the Heston stochastic volatility model, American options: the EPV pricing model, Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps, Correlation and the pricing of risks, Maximum likelihood estimation of the double exponential jump-diffusion process, A closed-form solution for options with ambiguity about stochastic volatility, Nonparametric implied Lévy densities, An approximation of small-time probability density functions in a general jump diffusion model, Pricing variance swaps under stochastic volatility and stochastic interest rate, Intensity-based framework for surrender modeling in life insurance, Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method, Testing for non-correlation between price and volatility jumps, Time-varying leverage effects, Probabilistic forecasts of volatility and its risk premia, Jump tails, extreme dependencies, and the distribution of stock returns, Semi-parametric estimation of American option prices, Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach, FFT based option pricing under a mean reverting process with stochastic volatility and jumps, On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps, Pricing variance swaps for stochastic volatilities with delay and jumps, Tractable hedging with additional hedge instruments, Spectral estimation of the Lévy density in partially observed affine models, An integrated pricing model for defaultable loans and bonds, Credit risk analysis of mortgage loans: An application to the Italian market, Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory, Efficiently pricing barrier options in a Markov-switching framework, Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions, Realised quantile-based estimation of the integrated variance, Threshold bipower variation and the impact of jumps on volatility forecasting, Estimation of objective and risk-neutral distributions based on moments of integrated volatility, Realized jumps on financial markets and predicting credit spreads, Integrated variance forecasting: model based vs. reduced form, The affine arbitrage-free class of Nelson-Siegel term structure models, Do interest rate options contain information about excess returns?, Generalized spectral testing for multivariate continuous-time models, Testing and detecting jumps based on a discretely observed process, Realized Laplace transforms for estimation of jump diffusive volatility models, Dependent interest and transition rates in life insurance, Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads, Existence of limiting distribution for affine processes, Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect, Risk-minimization for life insurance liabilities with basis risk, Affine processes for dynamic mortality and actuarial valuations, Pricing foreign equity option with stochastic volatility, On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis, Volatility smile as relativistic effect, A four-factor stochastic volatility model of commodity prices, Pricing long-lived securities in dynamic endowment economies, A general framework for time-changed Markov processes and applications, Equilibrium variance risk premium in a cost-free production economy, Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like, VIX forecast under different volatility specifications, Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity, A dimension reduction Shannon-wavelet based method for option pricing, A unified approach to Bermudan and barrier options under stochastic volatility models with jumps, Level and slope of volatility smiles in long-run risk models, Model complexity and out-of-sample performance: evidence from S\&P 500 index returns, Robustness of stable volatility strategies, Common price and volatility jumps in noisy high-frequency data, Fast smoothing in switching approximations of non-linear and non-Gaussian models, Microstructure models with short-term inertia and stochastic volatility, The jump size distribution of the commodity spot price and its effect on futures and option prices, A jump diffusion model for spot electricity prices and market price of risk, Staying at zero with affine processes: an application to term structure modelling, A bidimensional approach to mortality risk, A spectral estimation of tempered stable stochastic volatility models and option pricing, A unisex stochastic mortality model to comply with EU Gender Directive, Integrating delta: an intuitive single-integral approach to pricing European options on diverse stochastic processes, The term structure of interest rates under regime shifts and jumps, From bond yield to macroeconomic instability: a parsimonious affine model, A forward-backward SDE approach to affine models, Long-term factorization of affine pricing kernels, The dynamics of stochastic volatility: evidence from underlying and options markets, Alternative models for stock price dynamics., Spectral GMM estimation of continuous-time processes, On the functional estimation of jump-diffusion models., Empirical reverse engineering of the pricing kernel., Empirical option pricing: A retrospection, Joint econometric modeling of spot electricity prices, forwards and options, A risk model with renewal shot-noise Cox process, Hedging for the long run, Weighted average price in the Heston stochastic volatility model, Parameter estimation and model testing for Markov processes via conditional characteristic functions, Adaptive priors based on splines with random knots, Pricing forward-start variance swaps with stochastic volatility, Pricing American put option on zero-coupon bond in a jump-extended CIR model, Resolution of policy uncertainty and sudden declines in volatility, Vasicek model with mixed-exponential jumps and its applications in finance and insurance, A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate, Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model, Affine processes and applications in finance, Time-varying risk attitude and conditional skewness, The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework, Reduced-form models with regime switching: An empirical analysis for corporate bonds, On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients, Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions, Efficient estimation of integrated volatility functionals via multiscale jackknife, It only takes a few moments to hedge options, GARCH option pricing: A semiparametric approach, Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching, Large-dimensional factor modeling based on high-frequency observations, Approaches to forecasting volatility: Models and their performances for emerging equity markets, Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book, Stochastic distortion and its transformed copula, Filtered likelihood for point processes, Monte Carlo computation of optimal portfolios in complete markets, Affine processes with compact state space, Testing for jumps and jump intensity path dependence, Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks, A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps, Valuation of power plants, Comparing stochastic volatility models through Monte Carlo simulations, Factor estimation using MCMC-based Kalman filter methods, Basket CDS pricing with interacting intensities, Numerical methods for Lévy processes, A fast Fourier transform technique for pricing American options under stochastic volatility, Exchange option pricing under stochastic volatility: a correlation expansion, Singular risk-neutral valuation equations, Parametric and nonparametric models and methods in financial econometrics, Investment with restricted stock and the value of information, A closed-form expansion approach for pricing discretely monitored variance swaps, Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models, Analytical representations for the basic affine jump diffusion, Jump diffusion processes and their applications in insurance and finance, Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection, Implicit-explicit numerical schemes for jump-diffusion processes, Modeling asset price under two-factor Heston model with jumps, CAM stochastic volatility model for option pricing, Options pricing with time changed Lévy processes under imprecise information, A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility, A class of nonlinear stochastic volatility models and its implications for pricing currency options, Optimal payout policy in presence of downside risk, Multiscale local change point detection with applications to value-at-risk, A jump-diffusion model for option pricing under fuzzy environments, Sequential calibration of options, A dynamic programming approach for pricing options embedded in bonds, The cross-section of average delta-hedge option returns under stochastic volatility, Optimal consumption choice with intolerance for declining standard of living, A tale of two volatilities, Financial econometrics: Past developments and future challenges, The surprise element: Jumps in interest rates., Markov chain Monte Carlo methods for stochastic volatility models., Estimating stochastic volatility diffusion using conditional moments of integrated volatility, The identification of price jumps, Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps, An unscented Kalman smoother for volatility extraction: evidence from stock prices and options, Calibration and simulation of Heston model, INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS, Extension of stochastic volatility equity models with the Hull–White interest rate process, Lévy processes driven by stochastic volatility, The role of the dependence between mortality and interest rates when pricing guaranteed annuity options, Option pricing under the jump diffusion and multifactor stochastic processes, Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo, Probing option prices for information, Approximation of jump diffusions in finance and economics, Jump-diffusion models with constant parameters for financial log-return processes, The COS Method for Pricing Options Under Uncertain Volatility, Holomorphic transforms with application to affine processes, Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion, Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process, PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS, SWAPTION PRICING IN AFFINE AND OTHER MODELS, CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS, A class of asset pricing models governed by subordinate processes that signal economic shocks, AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL, Volterra mortality model: actuarial valuation and risk management with long-range dependence, Pricing longevity derivatives via Fourier transforms, On the Fourier cosine series expansion method for stochastic control problems, Closed-form implied volatility surfaces for stochastic volatility models with jumps, An iterative splitting method for pricing European options under the Heston model, ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION, Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market, AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION, Consistent Pricing of Options on Leveraged ETFs, Efficient Option Pricing by Frame Duality with the Fast Fourier Transform, Derivatives of feed-forward neural networks and their application in real-time market risk management, Pricing extreme mortality risk in the wake of the COVID-19 pandemic, High-order compact finite difference scheme for option pricing in stochastic volatility jump models, A discrete-time hedging framework with multiple factors and fat tails: on what matters, Pricing Options with Hybrid Stochastic Volatility Models, Option pricing when correlations are stochastic: an analytical framework, Pricing European Options Under Stochastic Volatilities Models, The Impact of Jump Distributions on the Implied Volatility of Variance, Fourier inversion formulas for multiple-asset option pricing, Multi-criteria classification for pricing European options, A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK, Dissecting skewness under affine jump-diffusions, Schauder a priori estimates and regularity of solutions to boundary-degenerate elliptic linear second-order partial differential equations, Valuation of European crude oil options with co-jump diffusions and stochastic interest rate, What model for the target rate, Learning for infinitely divisible GARCH models in option pricing, Density approximations for multivariate affine jump-diffusion processes, Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices, Mortality surface by means of continuous time cohort models, Pricing average options under time-changed Lévy processes, Time-changed CIR default intensities with two-sided mean-reverting jumps, Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility, On the valuation of fader and discrete barrier options in Heston's stochastic volatility model, AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS, On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility, Restructuring risk in credit default swaps: an empirical analysis, MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES, Fourier transformation and the pricing of average-rate derivatives, Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison, Exit problems in regime-switching models, Multifrequency jump-diffusions: An equilibrium approach, Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration, Credit derivatives in an affine framework, Stochastic Jacobian and Riccati ODE in affine term structure models, Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium, EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS, Linear complexity solution of parabolic integro-differential equations, Double-exponential fast Gauss transform algorithms for pricing discrete lookback options, Affine stochastic mortality, Testable implications of affine term structure models, Pricing default events: surprise, exogeneity and contagion, Volatility activity: specification and estimation, Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts, Exact simulation problems for jump-diffusions, Estimating doubly stochastic Poisson process with affine intensities by Kalman filter, Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing, General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options, Asymptotic Inference for Jump Diffusions with State-Dependent Intensity, EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING, FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS, PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS, ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE, PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL, TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK, Large deviations for squared radial Ornstein-Uhlenbeck processes., Consistency conditions for affine term structure models., An intensity-based approach for equity modeling, Measuring expectations in options markets: an application to the S&P500 index, Riding on the smiles, The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives, Time-varying long-run mean of commodity prices and the modeling of futures term structures, A unified approach to pricing and risk management of equity and credit risk, Delta hedging in discrete time under stochastic interest rate, Analytically pricing volatility swaps under stochastic volatility, A closed-form solution for outperformance options with stochastic correlation and stochastic volatility, Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis, Risk adjustments of option prices under time-changed dynamics, Three-point approach for estimating integrated volatility and integrated covariance, Empirical Characteristic Function Estimation and Its Applications, TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING, COMPLEX LOGARITHMS IN HESTON-LIKE MODELS, SELF-DECOMPOSABILITY AND OPTION PRICING, A Consistent Test for Multivariate Conditional Distributions, Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps, Measuring Impact of Random Jumps Without Sample Path Generation, Pseudospectral methods for pricing options, A dynamic programming approach for pricing CDS and CDS options, Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps, Transform analysis for Hawkes processes with applications in dark pool trading, Constant proportion portfolio insurance strategies in contagious markets, A dynamic equilibrium model for U-shaped pricing kernels, Orthogonal expansions for VIX options under affine jump diffusions, Bond and option pricing for interest rate model with clustering effects, Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity, Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes, NONPARAMETRIC STOCHASTIC VOLATILITY, Double-jump diffusion model for VIX: evidence from VVIX, Pricing options on mean reverting underliers, Pricing via recursive quantization in stochastic volatility models, Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model, Approximate pricing of swaptions in affine and quadratic models, Affine Point Processes: Approximation and Efficient Simulation, Probability Distribution in the SABR Model of Stochastic Volatility, Systemic Risk and Default Clustering for Large Financial Systems, Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates, Moments of renewal shot-noise processes and their applications, An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk, Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations, QUANTO PRICING IN STOCHASTIC CORRELATION MODELS, Market calibration under a long memory stochastic volatility model, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model, Skewness Term-Structure Tests, Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance, A Multivariate Default Model with Spread and Event Risk, Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model, Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations, TESTING FOR THE MARKOV PROPERTY IN TIME SERIES, ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING, Fast swaption pricing under the market model with a square-root volatility process, A multi-factor jump-diffusion model for commodities†, COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES, TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS, SOLVABLE AFFINE TERM STRUCTURE MODELS, THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS, LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING, The implied volatility smirk, Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives, General Lower Bounds for Arithmetic Asian Option Prices, COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK, Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models, Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility, Magic Points in Finance: Empirical Integration for Parametric Option Pricing, FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS, MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION, A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models, Option pricing with Weyl–Titchmarsh theory, Early exercise boundary and option prices in Lévy driven models, Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes, Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation, A multifactor volatility Heston model, APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION, Distinguishing short and long memory volatility specifications, Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity, DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS, Some recent developments in stochastic volatility modelling, A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS, Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives, AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL, A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*, CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION, SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM, PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT, PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS, Pricing a class of exotic commodity options in a multi-factor jump-diffusion model, Explicit Solution Processes for Nonlinear Jump-Diffusion Equations, Markov models for commodity futures: theory and practice, On singular stochastic control and optimal stopping of spectrally negative jump diffusions, A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS, MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS, Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models, Delta-hedging vega risk?, THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS, Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality, Wavelet Galerkin pricing of American options on Lévy driven assets, Assessment and propagation of input uncertainty in tree-based option pricing models, First passage time for multivariate jump-diffusion processes in finance and other areas of applications, Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing, Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps, Modelling spikes and pricing swing options in electricity markets, An arbitrage‐free generalized Nelson–Siegel term structure model, Interest Rate Derivatives Pricing with Volatility Smile, Simulation-Based Estimation Methods for Financial Time Series Models, Efficient Options Pricing Using the Fast Fourier Transform, PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS, Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution, First Order Strong Approximations of Jump Diffusions, The square-root process and Asian options, The fair value of guaranteed annuity options, The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure, A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps, EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS, ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS, Stochastic Mortality Models and Pandemic Shocks, ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES, PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE, LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK, EQUILIBRIUM VALUATION OF CURRENCY OPTIONS UNDER A DISCONTINUOUS MODEL WITH CO-JUMPS, STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS, On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions, An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance, Dark Matter in (Volatility and) Equity Option Risk Premiums, THE AFFINE RATIONAL POTENTIAL MODEL, SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS, INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA, Stochastic Volatility for Lévy Processes, The Term Structure of Simple Forward Rates with Jump Risk, A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering, Consistency Problems for Jump‐diffusion Models, The SINC way: a fast and accurate approach to Fourier pricing, Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type, Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity, A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING, FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES, Reducing Bias in Event Time Simulations via Measure Changes, A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling, A generalized heterogeneous autoregressive model using market information, Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model, A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps, APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH, Testing for Jump Spillovers Without Testing for Jumps, Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk, Econometrics with Privacy Preservation, A Three-Factor Model for Mortality Modeling, Clustering Effects via Hawkes Processes, Exchange options under clustered jump dynamics, Small-Time smile for the multifactor volatility heston model, Tax- and expense-modified risk-minimization for insurance payment processes, NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS, EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL, WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK, Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model, Multiscale methods for the valuation of American options with stochastic volatility, Local Linear Estimation of Recurrent Jump—Diffusion Models, EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION, RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES, Understanding option prices, A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES, Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters, A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA, On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous, QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES, AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING, AFFINE LATTICE MODELS, A Componentwise Splitting Method for Pricing American Options Under the Bates Model, Pricing a defaultable bond with a stochastic recovery rate, MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS, A comparison of biased simulation schemes for stochastic volatility models, Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model, Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes, Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models, A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions, Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance, Pitfalls of the Fourier Transform Method in Affine Models, and Remedies, Convertible bond valuation in a jump diffusion setting with stochastic interest rates, Evaluating discrete dynamic strategies in affine models, A Lévy HJM multiple-curve model with application to CVA computation, Modelling systemic price cojumps with Hawkes factor models, A practical approach to semideviation and its time scaling in a jump-diffusion process, Hedging jump risk, expected returns and risk premia in jump-diffusion economies, Pricing options on discrete realized variance with partially exact and bounded approximations, SOLVENCY REQUIREMENT IN A UNISEX MORTALITY MODEL, OU models based on positive and negative subordinate processes applying in SHIBOR time series analysis and derivative pricing – through discrete differential method, EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS, Stochastic volatility models for ordinal-valued time series with application to finance, Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps, Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude, Option Pricing in Affine Generalized Merton Models, Exponential ergodicity of an affine two-factor model based on the α-root process, Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model, American option pricing under the double Heston model based on asymptotic expansion, Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices, CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL, On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach, A set-valued Markov chain approach to credit default, The probability distribution of returns in the exponential Ornstein–Uhlenbeck model, SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS, Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data, DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS, INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS, A regime-switching Heston model for VIX and S&P 500 implied volatilities, Valuation of forward start options under affine jump-diffusion models, Default Clustering in Large Pools: Large Deviations, Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities, Application of power series approximation techniques to valuation of European style options, Informative option portfolios in filter design for option pricing models, ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE?, Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model, Speed and biases of Fourier-based pricing choices: a numerical analysis, Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations, Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model, Measuring systematic risk with neural network factor model, Binomial tree method for option pricing: discrete cosine transform approach, Pricing vulnerable options with stochastic volatility, Estimation and prediction under local volatility jump-diffusion model, Estimating option Greeks under the stochastic volatility using simulation, Pricing insurance premia: a top down approach, Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model, Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility, Pricing and hedging foreign equity options under Hawkes jump-diffusion processes, Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model, The contribution of intraday jumps to forecasting the density of returns, Geometric ergodicity of affine processes on cones, A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate, Boundary estimates for a degenerate parabolic equation with partial Dirichlet boundary conditions, The leverage effect puzzle revisited: identification in discrete time, First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise, Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps, A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate, Default clustering in large portfolios: typical events, Testing and inference for fixed times of discontinuity in semimartingales, A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models, A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump, A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk, Option pricing under two-factor stochastic volatility jump-diffusion model, A generalization of option pricing to price-limit markets, An asymptotic expansion method for geometric Asian options pricing under the double Heston model, Mean reversion in stochastic mortality: why and how?, The term structure of equity and variance risk premia, High-frequency jump tests: which test should we use?, Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors, RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function, A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process, Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options, Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?, European option pricing under Wishart processes, Valuation of electricity storage contracts using the COS method, A general framework for pricing Asian options under stochastic volatility on parallel architectures, Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms, A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy, Nonparametric estimation of volatility and its parametric analogs, Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility, Option pricing with discrete time jump processes, Asset prices in affine real business cycle models, Pricing generalized variance swaps under the Heston model with stochastic interest rates, Stochastic elasticity of vol-of-vol and pricing of variance swaps, Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity, A switching self-exciting jump diffusion process for stock prices, A Markov modulated dynamic contagion process with application to credit risk, Affine model of inflation-indexed derivatives and inflation risk premium, Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity, The waterline tree for separable local-volatility models, Exponentially affine martingales, affine measure changes and exponential moments of affine processes, Saddlepoint approximations for affine jump-diffusion models, Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach, Revealing the implied risk-neutral MGF from options: the wavelet method, American and European options in multi-factor jump-diffusion models, near expiry, Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion, On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case, Lewis model revisited: option pricing with Lévy processes, Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model, Forward transition rates, Efficient estimation and filtering for multivariate jump-diffusions, Household lifetime strategies under a self-contagious market, Optimal decision policy for real options under general Markovian dynamics, Simulated likelihood estimators for discretely observed jump-diffusions, The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications, VIX derivatives, hedging and vol-of-vol risk, Time-consistent longevity hedging with long-range dependence, Quantization meets Fourier: a new technology for pricing options, Semi-nonparametric approximation and index options, On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method, A realized volatility approach to option pricing with continuous and jump variance components, On the identification of models with conditional characteristic functions, Sieve estimation of option-implied state price density, Chasing volatility. A persistent multiplicative error model with jumps, A Kalman particle filter for online parameter estimation with applications to affine models, Nonparametric spot volatility from options, Regime switching affine processes with applications to finance, Transaction activity and bitcoin realized volatility, Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility, Unified inference for nonlinear factor models from panels with fixed and large time span, Model risk in the over-the-counter market, Smiles \& smirks: volatility and leverage by jumps, Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate, Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy, Pricing and exercising American options: an asymptotic expansion approach, Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm, Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach, Testing for pure-jump processes for high-frequency data, Assessing the solvency of insurance portfolios via a continuous-time cohort model, Monetary reforms and inflation expectations in Japan: evidence from inflation-indexed bonds, Pricing with finite dimensional dependence, Market-based estimation of stochastic volatility models, Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing, What is beneath the surface? Option pricing with multifrequency latent states, The fine structure of equity-index option dynamics, A non-linear dynamic model of the variance risk premium, The microstructure of stochastic volatility models with self-exciting jump dynamics, Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data, Matrix calculations for moments of Markov processes, On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances, Coupling methods and exponential ergodicity for two‐factor affine processes, Stabilisation of stochastic complex-valued time-varying coupled systems with jump diffusion via aperiodically intermittent control, Option pricing under stochastic volatility models with latent volatility, The Alpha‐Heston stochastic volatility model, Affine term structure models: A time‐change approach with perfect fit to market curves, Consistent time‐homogeneous modeling of SPX and VIX derivatives, Distributional properties of continuous time processes: from CIR to bates, Co-jumps and recursive preferences in portfolio choices, Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach, Non-linear affine processes with jumps, CORRELATION ESTIMATION IN HYBRID SYSTEMS, Nonlinear Poisson autoregression and nonlinear Hawkes processes, Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time, Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure, Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility, Evaluation of integrals with fractional Brownian motion for different Hurst indices, Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate, Review of statistical approaches for modeling high-frequency trading data, Volatility of volatility and leverage effect from options, A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS, Analytically pricing European options with a two-factor Stein-Stein model, High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep, Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps, The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets, Hedging cryptocurrency options, Delta hedging bitcoin options with a smile, A stochastic-local volatility model with Lévy jumps for pricing derivatives, Decomposing LIBOR in transition: evidence from the futures markets, Bias reduction estimation for drift coefficient in diffusion models with jumps, Crypto quanto and inverse options, Can a Machine Correct Option Pricing Models?, Nonparametric Option Pricing with Generalized Entropic Estimators, Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations, IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS, Maximum likelihood estimation of latent Markov models using closed-form approximations, EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE, PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS, Adaptive MCMC methods for inference on affine stochastic volatility models with jumps, The dynamics of commodity prices, Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case, Risk premiums in a simple market model for implied volatility, A new class of Bayesian semi-parametric models with applications to option pricing, A test for independence between a point process and an analogue signal, A collateralized loan’s loss under a quadratic Gaussian default intensity process, A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK, Risk-Based Capital Factor Determination With Jump Risk, HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT, LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS, LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS, Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models, Modelling Credit Risk in the Jump Threshold Framework, Estimation of affine asset pricing models using the empirical characteristic function, Options on realized variance by transform methods: a non-affine stochastic volatility model, Determinants of oil futures prices and convenience yields, Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators, A forward started jump-diffusion model and pricing of cliquet style exotics, An empirical analysis of alternative recovery risk models and implied recovery rates, The effects of asymmetric volatility and jumps on the pricing of VIX derivatives, APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING, Comment on article by Windle and Carvalho, Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model, Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model, Continuous Time Wishart Process for Stochastic Risk, Factor Stochastic Volatility in Mean Models: A GMM Approach, PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES, Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation, Shot noise multifractal model for turbulent pseudo-dissipation, A fractionally integrated Wishart stochastic volatility model, On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures