Jump diffusion models and the evolution of financial prices

DOI10.1016/J.PHYSLETA.2011.06.051zbMATH Open1250.91112OpenAlexW2090166045MaRDI QIDQ715465FDOQ715465

I. M. Gléria, A. Figueiredo, Marcio T. De Castro, Sergio Da Silva

Publication date: 29 October 2012

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2011.06.051

Recommendations

• scientific article; zbMATH DE number 2015370
• A jump-diffusion model for option pricing
• Jump-diffusion models with constant parameters for financial log-return processes
• Ehrenfest model with large jumps in finance
• Polynomial jump-diffusion models

zbMATH Keywords

stochastic processeseconophysicsKramersMoyal

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Financial applications of other theories (91G80)

Cites Work

• Alternative models for stock price dynamics.
• Introduction to Econophysics
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Brownian motion in a field of force and the diffusion model of chemical reactions
• Title not available (Why is that?)
• The seismography of crashes in financial markets
• Minority game with local interactions due to the presence of herding behavior
• Truncated Lévy walks and an emerging market economic index
• On the origins of truncated Lévy flights
• The origin of fat-tailed distributions in financial time series
• Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
• Power law in firms bankruptcy
• Title not available (Why is that?)

Cited In (12)

• Efficient and flexible model-based clustering of jumps in diffusion processes
• Title not available (Why is that?)
• A jump model for fads in asset prices under asymmetric information
• Title not available (Why is that?)
• Diffusion equations and the time evolution of foreign exchange rates
• Jump-Diffusion Models Driven by Lévy Processes
• The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
• Structural estimation of jump-diffusion processes in macroeconomics
• Ehrenfest model with large jumps in finance
• Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
• Stabilization of jump values of stocks and bonds in the \((B,S)\)-market model
• Title not available (Why is that?)

This page was built for publication: Jump diffusion models and the evolution of financial prices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q715465)