Optimal liquidation with jump-diffusion process

International Journal of Applied Decision Sciences ◽

10.1504/ijads.2021.10032106 ◽

2021 ◽

Vol 14 (1) ◽

pp. 1

Author(s):

Handong Li ◽

Qixuan Luo ◽

Can Jia

Keyword(s):

Diffusion Process ◽

Jump Diffusion ◽

Optimal Liquidation ◽

Jump Diffusion Process

Download Full-text

Optimal liquidation with jump-diffusion process

International Journal of Applied Decision Sciences ◽

10.1504/ijads.2021.117456 ◽

2021 ◽

Vol 14 (5) ◽

pp. 542

Author(s):

Qixuan Luo ◽

Can Jia ◽

Handong Li

Keyword(s):

Diffusion Process ◽

Jump Diffusion ◽

Optimal Liquidation ◽

Jump Diffusion Process

Download Full-text

Optimal investment and reinsurance strategies under jump-diffusion process

Modern Engineering Solutions for the Industry (Set) ◽

10.2495/mesi140451 ◽

2014 ◽

Author(s):

Suoping Li ◽

Jinliang Fan ◽

Xinxin Jiang

Keyword(s):

Diffusion Process ◽

Optimal Investment ◽

Jump Diffusion ◽

Jump Diffusion Process

Download Full-text

A Jump-Diffusion Process for Asset Price with Non-Independent Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.3089996 ◽

2017 ◽

Author(s):

Yihren Wu ◽

Majnu John

Keyword(s):

Diffusion Process ◽

Asset Price ◽

Jump Diffusion ◽

Jump Diffusion Process

Download Full-text

A Double Exponential Jump Diffusion Process To Modelling Risky Bond Prices

SSRN Electronic Journal ◽

10.2139/ssrn.498245 ◽

2003 ◽

Author(s):

Benoit Metayer

Keyword(s):

Diffusion Process ◽

Jump Diffusion ◽

Bond Prices ◽

Double Exponential ◽

Jump Diffusion Process

Download Full-text

Jump Diffusion Process Model Considering Component Dependency in Open Source Project for Development Effort Management

2020 IEEE International Conference on Industrial Engineering and Engineering Management (IEEM) ◽

10.1109/ieem45057.2020.9309990 ◽

2020 ◽

Author(s):

Yoshinobu Tamura ◽

Kodai Sugisaki ◽

Shigeru Yamada

Keyword(s):

Diffusion Process ◽

Open Source ◽

Process Model ◽

Jump Diffusion ◽

Development Effort ◽

Open Source Project ◽

Jump Diffusion Process

Download Full-text

Stochastic jump-diffusion process for computing medial axes in Markov random fields

IEEE Transactions on Pattern Analysis and Machine Intelligence ◽

10.1109/34.809109 ◽

1999 ◽

Vol 21 (11) ◽

pp. 1158-1169 ◽

Author(s):

Song-Chun Zhu

Keyword(s):

Diffusion Process ◽

Random Fields ◽

Markov Random Fields ◽

Jump Diffusion ◽

Markov Random ◽

Stochastic Jump ◽

Jump Diffusion Process

Download Full-text

JUMP-DIFFUSION PROCESS OF INTEREST RATES AND THE MALLIAVIN CALCULUS

International Journal of Apllied Mathematics ◽

10.12732/ijam.v34i1.10 ◽

2021 ◽

Vol 34 (1) ◽

Author(s):

A.M. Udoye ◽

C.P. Ogbogbo ◽

L.S. Akinola

Keyword(s):

Diffusion Process ◽

Interest Rates ◽

Malliavin Calculus ◽

Jump Diffusion ◽

Jump Diffusion Process

Download Full-text

Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process

SSRN Electronic Journal ◽

10.2139/ssrn.2968823 ◽

2015 ◽

Author(s):

Pei-Shih Weng ◽

Wei-Che Tsai

Keyword(s):

Diffusion Process ◽

Gaussian Quadrature ◽

Jump Diffusion ◽

Exotic Options ◽

Quadrature Method ◽

Jump Diffusion Process

Download Full-text

A switching self-exciting jump diffusion process for stock prices

Annals of Finance ◽

10.1007/s10436-018-0340-5 ◽

2018 ◽

Vol 15 (2) ◽

pp. 267-306 ◽

Author(s):

Donatien Hainaut ◽

Franck Moraux

Keyword(s):

Diffusion Process ◽

Stock Prices ◽

Jump Diffusion ◽

Jump Diffusion Process

Download Full-text

Correction on “Optimal portfolio selection when stock prices follow an jump-diffusion process”

Mathematical Methods of Operations Research ◽

10.1007/s00186-006-0139-4 ◽

2007 ◽

Vol 65 (3) ◽

pp. 559-564

Author(s):

Wenjing Guo ◽

Chengming Xu

Keyword(s):

Diffusion Process ◽

Portfolio Selection ◽

Stock Prices ◽

Jump Diffusion ◽

Optimal Portfolio ◽

Jump Diffusion Process ◽

Optimal Portfolio Selection

Download Full-text