scholarly journals Robust replication of volatility and hybrid derivatives on jump diffusions

2021 ◽  
Author(s):  
Peter Carr ◽  
Roger Lee ◽  
Matthew Lorig
Keyword(s):  
Jump Diffusions

Asset Pricing with Matrix Jump Diffusions

2008 ◽  
Author(s):  
Markus Leippold ◽  
Fabio Trojani
Keyword(s):  
Asset Pricing ◽  
Jump Diffusions

Efficient Parameter Estimation for Multivariate Jump-Diffusions

2016 ◽  
Author(s):  
Francois Guay ◽  
Gustavo Schwenkler
Keyword(s):  
Parameter Estimation ◽  
Jump Diffusions

Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options

2004 ◽  
Author(s):  
Dimitris Flamouris ◽  
Daniel Giamouridis
Keyword(s):  
Jump Diffusions ◽  
Basket Options

Closed-Form Optimal Investment when Present Values and Costs are Jump-Diffusions

2006 ◽  
Author(s):  
Alessandro Sbuelz ◽  
Anna Battauz
Keyword(s):  
Closed Form ◽  
Optimal Investment ◽  
Jump Diffusions

Feynman–Kac for functional jump diffusions with an application to Credit Value Adjustment

2015 ◽  
Vol 105 ◽  
pp. 120-129 ◽  
Author(s):  
E. Kromer ◽  
L. Overbeck ◽  
J.A.L. Röder
Keyword(s):  
Jump Diffusions

scholarly journals Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions

2017 ◽  
Vol 55 (6) ◽  
pp. 3458-3488 ◽  
Author(s):  
Zhen Chao ◽  
Kai Wang ◽  
Chao Zhu ◽  
Yanling Zhu
Keyword(s):  
Exponential Stability ◽  
Regime Switching ◽  
Jump Diffusions ◽  
Moment Exponential Stability

scholarly journals Central limit results for jump diffusions with mean field interaction and a common factor

2017 ◽  
Vol 35 (5) ◽  
pp. 767-802 ◽  
Author(s):  
Amarjit Budhiraja ◽  
Elisabeti Kira ◽  
Subhamay Saha
Keyword(s):  
Central Limit ◽  
Common Factor ◽  
Mean Field ◽  
Field Interaction ◽  
Jump Diffusions
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