Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Citations

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. 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.
   • Bonatti, Alessandro & Cisternas, Gonzalo, 2018. "Consumer Scores and Price Discrimination," CEPR Discussion Papers 13004, C.E.P.R. Discussion Papers.
   • Alessandro Bonatti & Gonzalo Cisternas, 2022. "Consumer Scores and Price Discrimination," Liberty Street Economics 20220711, Federal Reserve Bank of New York.
10. 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.
11. 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.
12. 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.
    • Jan Baldeaux & Man Chung Fung & Katja Ignatieva & Eckhard Platen, 2014. "A Hybrid Model for Pricing and Hedging of Long Dated Bonds," Research Paper Series 343, Quantitative Finance Research Centre, University of Technology, Sydney.
13. 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.
14. 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).
15. 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.
16. 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.
17. Eckhard Platen & Renata Rendek, 2019. "Dynamics of a Well-Diversified Equity Index," Research Paper Series 398, Quantitative Finance Research Centre, University of Technology, Sydney.
18. Denis Belomestny & Tigran Nagapetyan, 2014. "Multilevel path simulation for weak approximation schemes," Papers 1406.2581, arXiv.org, revised Oct 2014.
19. Massimo Marinacci & Federico Severino, 2018. "Weak time-derivatives and no-arbitrage pricing," Finance and Stochastics, Springer, vol. 22(4), pages 1007-1036, October.
20. 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.
21. 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.
22. 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.
23. 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.
24. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
25. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
26. 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.
27. Andrew Papanicolaou, 2014. "Stochastic Analysis Seminar on Filtering Theory," Papers 1406.1936, arXiv.org, revised Oct 2016.