JUMP-DIFFUSION PROCESS OF INTEREST RATES AND THE MALLIAVIN CALCULUS

2021 ◽  
Vol 34 (1) ◽  
Author(s):  
A.M. Udoye ◽  
C.P. Ogbogbo ◽  
L.S. Akinola
2015 ◽  
Vol 02 (02) ◽  
pp. 1550016
Author(s):  
Tristan Guillaume

In this paper, a general form of autocallable note is analytically valued, which includes the following features: regular coupons, reverse convertible provision and possible participation in the growth of the underlying equity asset. Simpler notes can be designed and analytically priced on the basis of this general structure. The equity asset follows a jump-diffusion process, while interest rates are driven by a two-factor model. Equity and interest rate sources of randomness are correlated. The numerical implementation is easy and very efficient compared to alternative valuation techniques. The formula provided in this paper can thus be expected to be a valuable tool for both buyers and issuers in terms of pricing and risk management.


2018 ◽  
Vol 15 (2) ◽  
pp. 267-306 ◽  
Author(s):  
Donatien Hainaut ◽  
Franck Moraux

2021 ◽  
Author(s):  
Jia-Xing Gao ◽  
Zhen-Yi Wang ◽  
Michael Q. Zhang ◽  
Min-Ping Qian ◽  
Da-Quan Jiang

AbstractDynamic models of gene expression are urgently required. Different from trajectory inference and RNA velocity, our method reveals gene dynamics by learning a jump diffusion process for modeling the biological process directly. The algorithm needs aggregate gene expression data as input and outputs the parameters of the jump diffusion process. The learned jump diffusion process can predict population distributions of gene expression at any developmental stage, achieve long-time trajectories for individual cells, and offer a novel approach to computing RNA velocity. Moreover, it studies biological systems from a stochastic dynamics perspective. Gene expression data at a time point, which is a snapshot of a cellular process, is treated as an empirical marginal distribution of a stochastic process. The Wasserstein distance between the empirical distribution and predicted distribution by the jump diffusion process is minimized to learn the dynamics. For the learned jump diffusion equation, its trajectories correspond to the development process of cells and stochasticity determines the heterogeneity of cells. Its instantaneous rate of state change can be taken as “RNA velocity”, and the changes in scales and orientations of clusters can be noticed too. We demonstrate that our method can recover the underlying nonlinear dynamics better compared to parametric models and diffusion processes driven by Brownian motion for both synthetic and real world datasets. Our method is also robust to perturbations of data because it only involves population expectations.


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