jumps. Under a one factor Markovian setting, we derive a spanning relation between a long term option and a continuum of … with our jump model simulations lends empirical support for the existence of jumps of random size in the movement of the S …

Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the …, i.e. the time span between jumps in two stocks or stock indices, is thus of first-order importance when analyzing …

frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …

suggested for removing subsequent outliers from a signal with trends. A fast algorithm for updating the repeated median in …

). The feedback between jump events and the intensity of these jumps is the key element of the model. We derive closed …

This paper analyses the informational role of the trading activity when jumps occur in the US Treasury market. As jumps … mark the arrival of new information to the market, we explore the contribution of jumps in reducing the informational … asymmetry. We identify jumps using a combination of jump detection techniques. For all maturities, the trading activity is more …