Search Results - subject:"Jump diffusions"

Filipović, Damir; Larsson, Martin - 2017

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which … nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under … based on polynomial jump-diffusions …

Persistent link: https://www.econbiz.de/10011874871

Firm decisions under jump-diffusive dynamics

Deopa, Neha; Rinaldo, Daniele - 2019

We present a model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented by a jump diffusion. This allows to represent both the continuous Gaussian volatility and the discontinuous uncertainty related to information arrival, sudden changes and large...

Persistent link: https://www.econbiz.de/10012049291

Firm decisions under jump-diffusive dynamics

Deopa, Neha; Rinaldo, Daniele - 2019

Persistent link: https://www.econbiz.de/10011987374

Option pricing in an investment risk-return setting

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638

Persistent link: https://www.econbiz.de/10012875529

Affine term structure models : a time-change approach with perfect fit to market curves

Mbaye, Cheikh; Vrins, Frédéric - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 678-724

Persistent link: https://www.econbiz.de/10013164572

Testing for the presence of jump components in jump diffusion models

Wang, Bin; Zheng, Xu - In: Journal of econometrics 230 (2022) 2, pp. 483-509

Persistent link: https://www.econbiz.de/10013464085

Efficient estimation and filtering for multivariate jump-diffusions

Guay, François; Schwenkler, Gustavo - In: Journal of econometrics 223 (2021) 1, pp. 251-275

Persistent link: https://www.econbiz.de/10012619970

Managing surges in online demand using bandwidth throttling : an optimal strategy amid the COVID-19 pandemic

Gupta, Varun; Perera, Sandun - In: Transportation research / E : an international journal 151 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012585834

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

A Hilbert transform approach for controlled jump-diffusions with financial applications

Ge, Yingming; Li, Lingfei - In: International journal of financial engineering 7 (2020) 4, pp. 1-46

Persistent link: https://www.econbiz.de/10012603237

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