This paper studies a class of tractable jump-diffusion models,including stochastic volatility models with self-exciting jumpsfor stock returns and variance processes. We employ the Markovchain Monte Carlo (MCMC) method to implement model estimation, andinvestigate the performance of all models...

The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent research advances in theory and methodology. Leading...