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Time-Varying Jump Intensities and Fat Tail Dynamics : Evidence from S&P500 Returns and Options
Christoffersen, Peter - 2014
heteroskedastic processes with fat-tailed innovations in returns and volatility. We provide a tractable risk neutralization framework …
Persistent link: https://www.econbiz.de/10013062019
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Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei; Yang, Nian - In: Journal of economic dynamics & control 125 (2021), pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
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Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin; Kassberger, Stefan; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
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A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Cai, Ning; Yang, Xuewei - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
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Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models
Kolliopoulos, Nikolaos - 2018
Persistent link: https://www.econbiz.de/10012386950
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Model-free stochastic collocation for an arbitrage-free implied volatility, part I
Le Floc'h, Fabien; Oosterlee, Cornelis Willebrordus - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 679-714
Persistent link: https://www.econbiz.de/10012127314
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The Bayesian methods of jump detection : the example of gas and EUA contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10012294576
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Dissecting skewness under affine jump-diffusions
Zhen, Fang; Zhang, Jin E. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012299592
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Robustness of stable volatility strategies
Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
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A novel jump diffusion model based on SGT distribution and its applications
Xu, Weijun; Liu, Guifang; Li, Hongyi - In: Economic modelling 59 (2016), pp. 74-92
Persistent link: https://www.econbiz.de/10011647763