Search Results - subject:"Compound Poisson"

Asymptotic inference in multiple-threshold double autoregressive models

Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel - In: Journal of econometrics 189 (2015) 2, pp. 415-427

Persistent link: https://www.econbiz.de/10011504598

Perpetual exchange options under jump-diffusion dynamics

Cheang, Gerald H. L.; Lian, Guanghua - In: Applied mathematical finance 22 (2015) 5/6, pp. 450-462

Persistent link: https://www.econbiz.de/10011490614

Catastrophe options with double compound Poisson processes

Yu, Jun - In: Economic modelling 50 (2015), pp. 291-297

Persistent link: https://www.econbiz.de/10011440613

Modeling international trade data with the Tweedie distribution for anti-fraud and policy support

Barabesi, Lucio; Cerasa, Andrea; Perrotta, Domenico; … - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1031-1043

Persistent link: https://www.econbiz.de/10011412508

Optimal proportional reinsurance with common shock dependence

Yuen, Kam Chuen; Liang, Zhibin; Zhou, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011396849

Comparison of approximations for compound Poisson processes

Seri, Raffaello; Choirat, Christine - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 601-637

Persistent link: https://www.econbiz.de/10011397269

A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"

Durham, Garland; Geweke, John; Ghosh, Pulak - In: Journal of financial economics 115 (2015) 1, pp. 210-214

Persistent link: https://www.econbiz.de/10011327221

Computation of Greeks for jump-diffusion models

Eddahbi, M'hamed; Cherif, Sidi Mohamed Lalaoui Ben; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-30

Persistent link: https://www.econbiz.de/10011403918

Exchange Options Under Jump-Diffusion Dynamics

Cheang, Gerald H. L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

price processes also contain compound Poisson jump components. A Radon-Nikod´ym derivative process that induces the change … case of exchange options where both stock price processes also contain compound Poisson jump components. A Radon … premium. Keywords: American options, exchange options, compound Poisson processes, equivalent martingale measure. JEL …

Persistent link: https://www.econbiz.de/10004984495

Hedge Portfolios in Markets with Price Discontinuities

Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

a multivariate compound Poisson process. The parameters in the Radon-Nikodym derivative define a family of equivalent … exponential martingale of a correlated Brow- nian motion process and a multivariate compound Poisson process. The parameters in …, Compound Poisson processes, Radon-Nikod¶ym derivative, Multi-asset options, Integro-partial difierential equation. JEL …

Persistent link: https://www.econbiz.de/10004984596