Large deviations for multi-scale jump-diffusion processes

Stochastic Processes and their Applications ◽

10.1016/j.spa.2016.07.016 ◽

2017 ◽

Vol 127 (4) ◽

pp. 1297-1320 ◽

Author(s):

Rohini Kumar ◽

Lea Popovic

Keyword(s):

Large Deviations ◽

Diffusion Processes ◽

Jump Diffusion ◽

Multi Scale ◽

Jump Diffusion Processes

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Corrigendum to “Large deviations for multi-scale jump-diffusion processes” [Stochastic Process. Appl. 127 (2017) 1297–1320]

Stochastic Processes and their Applications ◽

10.1016/j.spa.2018.08.015 ◽

2018 ◽

Vol 128 (12) ◽

pp. 4326-4329

Author(s):

Rohini Kumar ◽

Lea Popovic

Keyword(s):

Stochastic Process ◽

Large Deviations ◽

Diffusion Processes ◽

Jump Diffusion ◽

Multi Scale ◽

Jump Diffusion Processes

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Jump-drift and jump-diffusion processes: large deviations for the density, the current and the jump-flow and for the excursions between jumps

Journal of Statistical Mechanics Theory and Experiment ◽

10.1088/1742-5468/ac12c5 ◽

2021 ◽

Vol 2021 (8) ◽

pp. 083205

Author(s):

Cécile Monthus

Keyword(s):

Large Deviations ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Real Options Under Jump Diffusion Processes: What Types of Jumps?

SSRN Electronic Journal ◽

10.2139/ssrn.1361576 ◽

2009 ◽

Author(s):

Xianfeng Jiang ◽

Yongdong Shi ◽

George J. Jiang

Keyword(s):

Real Options ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2543719 ◽

2014 ◽

Author(s):

Binh Thanh Dao ◽

Monique Jeanblanc ◽

Nadine Bellamy

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

American Put ◽

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Estimation of Jump-Diffusion Processes via Empirical Characteristic Functions

SSRN Electronic Journal ◽

10.2139/ssrn.675202 ◽

2005 ◽

Author(s):

Michael Rockinger ◽

Maria Semenova

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Characteristic Functions ◽

Jump Diffusion Processes

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Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions

SSRN Electronic Journal ◽

10.2139/ssrn.893090 ◽

2005 ◽

Author(s):

Carl Chiarella ◽

Andrew Ziogas

Keyword(s):

Diffusion Processes ◽

American Options ◽

Jump Diffusion ◽

Series Expansions ◽

Jump Diffusion Processes ◽

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Jump diffusion processes and their applications in insurance and finance

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2006.09.006 ◽

2007 ◽

Vol 41 (1) ◽

pp. 62-70 ◽

Author(s):

Jiwook Jang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Capacity expansion with exponential jump diffusion processes

Stochastics and Stochastics Reports ◽

10.1080/1045112031000155696 ◽

2003 ◽

Vol 75 (4) ◽

pp. 259-274 ◽

Author(s):

Hui Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Capacity Expansion ◽

Jump Diffusion Processes

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Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

Quantitative Finance ◽

10.1080/14697688.2015.1090623 ◽

2016 ◽

Vol 16 (7) ◽

pp. 1129-1145 ◽

Author(s):

Huawei Niu ◽

Dingcheng Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Vulnerable Options

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Implicit–explicit numerical schemes for jump–diffusion processes

CALCOLO ◽

10.1007/s10092-007-0128-x ◽

2007 ◽

Vol 44 (1) ◽

pp. 33-57 ◽

Author(s):

Maya Briani ◽

Roberto Natalini ◽

Giovanni Russo

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Numerical Schemes ◽

Jump Diffusion Processes

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