Jump-Diffusion Risk Process
Integro Differential Equations for a Jump Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals
... In this paper, we consider a jump-diffusion risk process compounded by a geometric Brownian motion with dependence between claim sizes and claim intervals. We derive the integro-differential ...
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Is the Jump Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
... The world of credit modeling is divided into two main approaches: structural models and reduced-form (or intensity) models. The structural models regard default as an endogenous event, focusing on the capital structure ...
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Multivariate Asset Models Using Levy Processes and Applications
... and Jump Diffusion (JD) processes, whilst Lindskog and McNeil (2003) make use of linear combinations to develop a common Poisson shock process framework for dependent events frequencies in the ...
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Journal of Mathematical Sciences and Applications
... surplus process followed a jump- diffusion process where the insurer could purchase proportional reinsurance from the reinsurer via the variance principle and invest in a risk-free ...
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Optimal Portfolio Choice in a Jump Diffusion Model with Self Exciting
... a risk-free asset and a risky ...and jump risks and the jump is modeled by a Hawkes process so that occurrence of a jump in the risky asset price triggers more sequent ...relative ...
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Realized Range-based Threshold Estimation for Jump-diffusion Models
... T HE volatility of asset price plays a central role in both the theoretical and empirical finance literature (see [1], [2], [3], among others). It is one of the most important deter- minants of market decision, such as ...
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On the calculation of price sensitivities with jump diffusion structure
... stochastic process describing the stock’s price includes ...of risk is denoted by Vega that represents the sensitivity of the trading position with regard to the volatility of the underlying ...of ...
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Exact Simulation of Jump Diffusion Processes with Monte Carlo Applications
... a jump- diffusion stochastic interest rate pricing framework (see ...credit risk modeling (see e.g. (12)) where the default arrival process is a Cox process driven by an exogeneous ...a ...
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Duopolistic Competition and Capacity Choice with Jump Diffusion Process
... This paper studies the effects of sudden events on the optimal timing and capacity choice in a du- opoly market. According to the characteristics of economic environment, we assume that the product demand follows ...
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A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes
... under Jump-Diffusion Processes, and derived the appropriate characteri- zation of asset market equilibrium when asset prices follow jump-diffusion ...when jump risk is systematic ...
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Convertible bond valuation in a jump diffusion setting with stochastic interest rates
... a jump diffusion model for the firm value with correlated stochastic interest rates, hence comprising four risk factors: the Brownian motion governing the diffusion part of the firm value, the ...
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Derivatives pricing in a Markov chain jump diffusion setting
... Chain Jump-Diffusion (MCJD) model, where we have a financial market in which there are several possible ...this diffusion process jumps in the asset price which occur when the market changes ...
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Uncertainty And Learning In Dynamic Financial Econometrics
... prices jump hundreds of times per ...for Risk Prices in Structural Stochastic Volatility Models,” is coauthored with Xu Cheng and Eric ...investors’ risk aversion in highly nonlinear, heteroskedastic ...
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Stochastic Volatility Jump Diffusion Model for Option Pricing
... An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with square root stochastic volatility. The stochastic volatility follows the ...
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Switching and diffusion models for gene regulation networks
... In this subsection, we interpret the system (1)–(4) as a Markov jump process defined by the CME, letting M (t) and P (t) denote the stochastic processes that specify the levels of mRNA and protein, ...
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Comparing hitting time behaviour of Markov jump processes and their diffusion approximations
... Gillespie [12] uses this example as the basis for comparing steady state distri- butions for the CME and CLE. In the CLE case, Gillespie claims to solve the steady Fokker-Planck equation, and displays analytical ...
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Reversible jump MCMC for nonparametric drift estimation for diffusion processes
... reversible jump algorithm, it turns out that reasonable results can be obtained if we erroneously undersmooth by choosing the regularity of the prior too ...
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Game Russian Options for Double Exponential Jump Diffusion Processes
... exponential jump diffusion processes and also explored some analytical proper- ties of the value function and the optimal boundaries for the seller and buyer, which were useful to provide an approximation ...
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On Optimal Sparse Control Problems Governed by Jump Diffusion Processes
... Keywords Jump-Diffusion Processes, Partial Integro-Differential Fokker-Planck Equation, Optimal Control Theory, Nonsmooth Optimization, Proximal Methods.. Introduction Recently, largely [r] ...
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Pricing Options in Jump Diffusion Models Using Mellin Transforms
... Pure diffusion models are in most cases not flexible enough to fit the empirical observations concerning the movements of stock ...prices. Jump diffusions are a natural extension of pure diffusions since ...
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