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Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Citations

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Cited by:

  1. Yang Li & Taitao Feng & Yaolei Wang & Yifei Xin, 2021. "A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models," Mathematics, MDPI, vol. 9(6), pages 1-15, March.
  2. Andrey Borisov & Igor Sokolov, 2020. "Optimal Filtering of Markov Jump Processes Given Observations with State-Dependent Noises: Exact Solution and Stable Numerical Schemes," Mathematics, MDPI, vol. 8(4), pages 1-22, April.
  3. Dwueng-Chwuan Jhwueng, 2021. "Two Gaussian Bridge Processes for Mapping Continuous Trait Evolution along Phylogenetic Trees," Mathematics, MDPI, vol. 9(16), pages 1-14, August.
  4. Flávio B. Gonçalves & Gareth O. Roberts, 2014. "Exact Simulation Problems for Jump-Diffusions," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 907-930, December.
  5. Patrice Takam Soh & Eugene Kouassi & Renaud Fadonougbo & Martin Kegnenlezom, 2021. "Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1," Computational Statistics, Springer, vol. 36(2), pages 1153-1176, June.
  6. Yang Li & Yaolei Wang & Taitao Feng & Yifei Xin, 2021. "A New Simplified Weak Second-Order Scheme for Solving Stochastic Differential Equations with Jumps," Mathematics, MDPI, vol. 9(3), pages 1-14, January.
  7. Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
  8. Guillermo Andrés Cangrejo Jiménez, 2014. "La Estructura a Plazos del Riesgo Interbancario," Documentos de Trabajo 12172, Universidad del Rosario.
  9. Fred Espen Benth & Paul Krühner, 2018. "Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models," Finance and Stochastics, Springer, vol. 22(2), pages 327-366, April.
  10. Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
  11. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2013, January-A.
  12. de la Cruz, H. & Jimenez, J. C, 2020. "Exact pathwise simulation of multi-dimensional Ornstein–Uhlenbeck processes," Applied Mathematics and Computation, Elsevier, vol. 366(C).
  13. Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
  14. Martin Tegnér & Rolf Poulsen, 2018. "Volatility Is Log-Normal—But Not for the Reason You Think," Risks, MDPI, vol. 6(2), pages 1-16, April.
  15. Eckhard Platen & Renata Rendek, 2019. "Dynamics of a Well-Diversified Equity Index," Research Paper Series 398, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Denis Belomestny & Tigran Nagapetyan, 2014. "Multilevel path simulation for weak approximation schemes," Papers 1406.2581, arXiv.org, revised Oct 2014.
  17. Massimo Marinacci & Federico Severino, 2018. "Weak time-derivatives and no-arbitrage pricing," Finance and Stochastics, Springer, vol. 22(4), pages 1007-1036, October.
  18. Fan Jiang & Xin Zang & Jingping Yang, 2020. "Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes," Papers 2003.06218, arXiv.org.
  19. esposito, francesco paolo & cummins, mark, 2015. "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper 64987, University Library of Munich, Germany.
  20. Kevin Fergusson & Eckhard Platen, 2014. "Hedging long-dated interest rate derivatives for Australian pension funds and life insurers," Published Paper Series 2014-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  21. Johannes Stübinger & Sylvia Endres, 2018. "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 18(10), pages 1735-1751, October.
  22. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
  23. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Alessandro Bonatti & Gonzalo Cisternas, 2020. "Consumer Scores and Price Discrimination," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(2), pages 750-791.
  25. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
  26. Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen, 2015. "A Hybrid Model for Pricing and Hedging of Long-dated Bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 366-398, September.
  27. Andrew Papanicolaou, 2014. "Stochastic Analysis Seminar on Filtering Theory," Papers 1406.1936, arXiv.org, revised Oct 2016.
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