Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
From MaRDI portal
Publication:635177
DOI10.1016/J.EJOR.2011.05.011zbMath1219.91155OpenAlexW2145320329MaRDI QIDQ635177
Publication date: 19 August 2011
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.05.011
Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Related Items (5)
Approximation for portfolio optimization in a financial market with shot-noise jumps ⋮ On a new shot noise process and the induced survival model ⋮ Shot-Noise Processes in Finance ⋮ Estimating fast mean-reverting jumps in electricity market models ⋮ Equilibrium approach of asset pricing under Lévy process
Cites Work
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- A Jump-Diffusion Model for Option Pricing
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
- Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
- A survey of stochastic modelling approaches for liberalised electricity markets
- Computing option price for Lévy process with fuzzy parameters
- Generalized gamma convolutions and complete monotonicity
- An introduction to the theory of point processes
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- MaxVaR with non-Gaussian distributed returns
- Affine General Equilibrium Models
- THE GARCH OPTION PRICING MODEL
- Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- A SHOT NOISE MODEL FOR FINANCIAL ASSETS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Long-Term Memory in Stock Market Prices
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- Mathematical Analysis of Random Noise
This page was built for publication: Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
