This paper considers interest rate term structure models in a market attracting both continuous and discrete types of uncertainty. The event driven noise is modelled by a Poisson random measure. Using as numeraire the growth optimal portfolio, interest rate derivatives are priced under the...

This work is devoted to the study of a stochastic variational inequality with a Wiener–Poisson driving term. Existence and uniqueness are proven for Lipschitz coefficients and under general conditions for the unbounded term. One of the main tools used in order to obtain the existence result is...

In this article, we consider a jump diffusion process (Xt)t≥0 observed at discrete times t=0,Δ,…,nΔ. The sampling interval Δ tends to 0 and nΔ tends to infinity. We assume that (Xt)t≥0 is ergodic, strictly stationary and exponentially β-mixing. We use a penalised least-square approach...

This article estimates stochastic volatility jump-diffusion processes using the continuous empirical characteristic function method based on the Joint characteristic function and the Marginal characteristic function. The emphasis is on the specification of jumps in the asset log-price. Out of...

Event-driven uncertainties such as corporate defaults, operational failures or central bank announcements are important elements in the modelling of financial quantities. Therefore, stochastic differential equations (SDEs) of jump-diffusion type are often used in finance. We consider in this...

This article proposes an estimation procedure for the affine stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint (here bi-variate) unconditional characteristic function for the stochastic process for which we...

The paper develops a consumption based equilibrium model, focusing on the risk premium and the risk-free interest rate. We derive testable expressions for these quantities, and confront these with sample estimates for the 20. century. Our framework is a dynamic model in continuous time, allowing...