We establish the Local Asymptotic Normality (LAN) property for a class of parametric jump-diffusion processes with state-dependent intensity and known volatility function sampled at high-frequency. We prove that the inference problem about the drift and jump parameters is adaptive with respect...

Risk-neutral traders executing derivative trades on behalf of portfolio managers maximize their expected profit compared to trading at pre-determined times by timing trades, using the quickly changing risk exposures of derivative baskets. The optimal order submission strategy is a sequence of...