This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and … stock selection and trading framework identifies overnight price gaps based on an advanced jump test procedure and exploits …

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which … nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under … based on polynomial jump-diffusions …

variance but driven by a separate process. We show that this separation of jump risk from volatility risk is needed to match …We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and … jumps in the state variables. The special feature of our model is that the jump intensity is not affine in the conditional …

In this paper we derive an easily computed approximation of Rogers and Shi's lower bound for a local volatility jump …-diffusion model and then use it to approximate European basket option values. If the local volatility function is time independent …