volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic …

distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility …

distortions during the crisis, we propose generalisations with a time-varying central tendency, jumps, and stochastic volatility …

distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility …

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate … samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model …

, where the variance process jumps between two or more GARCH volatility states, is able to capture the features of implied …

component. The jumps in stock volatility are found to be so active that this discredits many recently proposed stochastic … volatility models, including the classic affine model with compound Poisson jumps that is widely used in financial modeling and … practice. Additional empirical work presents strong evidence for many common jumps, or co-jumps, in both the stock price and …

We consider the hedging of options when the price of the underlying asset is always exposed to the possibility of jumps … hedge in the presence of jumps cannot be improved upon by increasing the rebalancing frequency. In contrast, the superior … empirical support for the existence of jumps of random size in the movement of the S&P 500 index. We also find that the …