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Search: subject:"jump-diffusion processes"
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Stochastic process
20
Stochastischer Prozess
20
Jump-diffusion processes
17
Option pricing theory
17
Optionspreistheorie
17
Asset and Liability Management
16
Benchmarked Asset Management
16
Classical Solutions
16
Dynamic Investment Management
16
Hamilton–Jacobi–Bellman Equations
16
Jump Diffusion Processes
16
Kelly Criterion
16
Lévy Processes
16
Risk Sensitive Control
16
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16
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16
jump-diffusion processes
15
Jump diffusion processes
8
Option trading
8
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8
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8
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Derivat
7
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American options
5
stochastic volatility
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free boundary problem
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method of lines
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2
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Lleo, Sébastien
17
Davis, Mark H. A.
16
Bruti-Liberati, Nicola
4
Platen, Eckhard
4
Wang, Xingchun
4
Chiarella, Carl
3
Sabino, Piergiacomo
3
Ziogas, Andrew
3
Ben-Abdellatif, Malek
2
Ben-Ameur, Hatem
2
Cheang, Gerald H. L.
2
Chérif, Rim
2
Cufaro Petroni, Nicola
2
Dai, Hongshuai
2
Fakhfakh, Tarek
2
Garces, Len Patrick Dominic M.
2
Liu, Zaiming
2
Luan, Nana
2
Lupu, Radu
2
Amaya, Diego
1
Antonelli, Fabio
1
Arai, Takuji
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BRETON, JEAN-CHRISTOPHE
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Beliaeva, Natalia
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Branger, Nicole
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Brigo, Damiano
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Buckley, Winston
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Bégin, Jean-François
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CHIARELLA, CARL
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Cai, Ning
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Carr, Peter
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Cheang, Gerald
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Chiu, Chien-Liang
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Cousot, Laurent
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Dai, Min
1
Das, Sanjiv Ranjan
1
Davis, Mark H A
1
Gardini, Matteo
1
Gauthier, Geneviève
1
Graceffa, Federico
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Finance Discipline Group, Business School
5
C.E.P.R. Discussion Papers
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Department of Economics and Business, Universitat Pompeu Fabra
1
Society for Computational Economics - SCE
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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World Scientific Publishing Co. Pte. Ltd.
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Risk-Sensitive Investment Management
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Quantitative finance
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Research Paper Series / Finance Discipline Group, Business School
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Finance and Stochastics
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INFORMS journal on computing : JOC
1
International journal of financial engineering
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International review of economics & finance : IREF
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Journal for Economic Forecasting
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Journal of Banking & Finance
1
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1
Journal of the Operational Research Society : OR
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Les cahiers du GERAD
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Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical Methods of Operations Research
1
Mathematical methods of operations research
1
OR spectrum : quantitative approaches in management
1
Opsearch : journal of the Operational Research Society of India
1
Physica A: Statistical Mechanics and its Applications
1
Review of derivatives research
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Statistics & Probability Letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Theoretical and Applied Economics
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RePEc
40
ECONIS (ZBW)
23
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1
Structural credit risk models with stochastic default barriers and jump clustering using Hawkes
jump-diffusion
processes
Pasricha, Puneet
;
Selvamuthu, Dharmaraja
;
Tardelli, Paola
- In:
Opsearch : journal of the Operational Research Society …
62
(
2025
)
2
,
pp. 1061-1081
Persistent link: https://www.econbiz.de/10015532943
Saved in:
2
Closed-form option formulas for Kou-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Quantitative finance
25
(
2025
)
10
,
pp. 1517-1534
Persistent link: https://www.econbiz.de/10015534205
Saved in:
3
Quasi-maximum likelihood for estimating structural models
Ben-Abdellatif, Malek
;
Ben-Ameur, Hatem
;
Chérif, Rim
; …
-
2023
-
Revised: January 2023
Persistent link: https://www.econbiz.de/10014253148
Saved in:
4
Quasi-maximum likelihood for estimating structural models
Ben-Abdellatif, Malek
;
Ben-Ameur, Hatem
;
Chérif, Rim
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
29
(
2025
)
4
,
pp. 437-446
Persistent link: https://www.econbiz.de/10015460506
Saved in:
5
The informational content of high-frequency option prices
Amaya, Diego
;
Bégin, Jean-François
;
Gauthier, Geneviève
- In:
Management science : journal of the Institute for …
68
(
2022
)
3
,
pp. 2166-2201
Persistent link: https://www.econbiz.de/10013267926
Saved in:
6
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
7
Fast pricing of energy derivatives with mean-reverting
jump-diffusion
processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
8
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
Garces, Len Patrick Dominic M.
;
Cheang, Gerald H. L.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809
Saved in:
9
On the consistency of jump-diffusion dynamics for FX rates under inversion
Graceffa, Federico
;
Brigo, Damiano
;
Pallavicini, Andrea
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012603771
Saved in:
10
Pricing options on the maximum or minimum of multi-assets under
jump-diffusion
processes
Wang, Xingchun
- In:
International review of economics & finance : IREF
70
(
2020
),
pp. 16-26
Persistent link: https://www.econbiz.de/10012486761
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