Asian options pricing in Hawkes-type jump-diffusion models
Sign Up to like & getrecommendations! Published in 2019 at "Annals of Finance"
DOI: 10.1007/s10436-019-00352-1
Abstract: In this paper we propose a method for pricing Asian options in market models with the risky asset dynamics driven by a Hawkes process with exponential kernel. For these processes the couple $$ (\lambda (t),… read more here.
Keywords: diffusion models; jump diffusion; asian options; finance ... See more keywords
Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events
Sign Up to like & getrecommendations! Published in 2018 at "Computational Economics"
DOI: 10.1007/s10614-017-9654-z
Abstract: Importance sampling is a powerful variance reduction technique for rare event simulation, and can be applied to evaluate a portfolio’s Value-at-Risk (VaR). By adding a jump term in the geometric Brownian motion, the jump diffusion… read more here.
Keywords: value risk; jump diffusion; jump; simulation ... See more keywords
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
Sign Up to like & getrecommendations! Published in 2019 at "Applied Numerical Mathematics"
DOI: 10.1016/j.apnum.2019.01.001
Abstract: Abstract In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with multiple exercise… read more here.
Keywords: integro differential; swing options; diffusion models; partial integro ... See more keywords
A comparative analysis of housing prices in different cities using the Black–Scholes and Jump Diffusion models
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102241
Abstract: Abstract This study investigates the price structure of urban housing markets comparing the Black–Scholes model and Merton’s jump diffusion model with the expectation–maximization algorithm. As price jump information is hidden within the price change itself,… read more here.
Keywords: jump diffusion; black scholes; housing; cities using ... See more keywords
On Foster–Lyapunov criteria for exponential ergodicity of regime-switching jump diffusion processes with countable regimes
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2021.48
Abstract: Abstract This paper is devoted to the study of regime-switching jump diffusion processes with countable regimes. It aims to establish Foster–Lyapunov-type criteria for exponential ergodicity of such processes. After recalling results concerning the petiteness of… read more here.
Keywords: jump diffusion; foster lyapunov; diffusion processes; switching jump ... See more keywords
On the construction of non-affine jump-diffusion models
Sign Up to like & getrecommendations! Published in 2017 at "Stochastic Analysis and Applications"
DOI: 10.1080/07362994.2017.1333008
Abstract: ABSTRACT We describe a method for construction of jump analogues of certain one-dimensional diffusion processes satisfying solvable stochastic differential equations. The method is based on the reduction of the original stochastic differential equations to the… read more here.
Keywords: jump diffusion; jump; diffusion; affine jump ... See more keywords
Optimal investment-reinsurance problem for an insurer with jump-diffusion risk process: correlated of Brownian motions
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Interdisciplinary Mathematics"
DOI: 10.1080/09720502.2016.1179483
Abstract: Abstract Taking the minimum ruin probability as the optimal measure, the paper brings the investment into the reinsurance, assume the market is divided into risk market and non - risk market, moreover, the insurance investment… read more here.
Keywords: risk; jump diffusion; investment; process ... See more keywords
Wealth optimization models on jump-diffusion model
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Interdisciplinary Mathematics"
DOI: 10.1080/09720502.2017.1406629
Abstract: Abstract In this paper, we study the optimization problems of minimization of shortfall risk under the jump diffusion model. Jump-diffusion asset price model is driven by nonexplosive counting process that is more general than Poisson… read more here.
Keywords: jump diffusion; diffusion; wealth; optimization ... See more keywords
Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
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DOI: 10.1080/14697688.2017.1417624
Abstract: This paper develops a pairs trading framework based on a mean-reverting jump–diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables… read more here.
Keywords: pairs trading; jump diffusion; trading; reverting jump ... See more keywords
Long-range spin jump diffusion revealed by dynamic light scattering
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DOI: 10.1103/physrevb.103.205208
Abstract: Spatiotemporal spin noise spectroscopy is combined with dynamic light scattering in order to reach spatial resolutions down to $\ensuremath{\sim}\ensuremath{\lambda}/10$. Applied to a system of localized electron spins, an insulating n-doped CdTe layer, this allows us… read more here.
Keywords: jump; light scattering; dynamic light; spin ... See more keywords
Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk
Sign Up to like & getrecommendations! Published in 2020 at "Mathematical Problems in Engineering"
DOI: 10.1155/2020/6207805
Abstract: In this paper, we consider a robust optimal investment-reinsurance problem with a default risk. The ambiguity-averse insurer (AAI) may carry out transactions on a risk-free asset, a stock, and a defaultable corporate bond. The stock’s… read more here.
Keywords: optimal strategies; jump diffusion; averse insurer; jump ... See more keywords