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Applied Stochastic Control of Jump Diffusions（by Bernt and Sulm）
6 个回复 - 2197 次查看 Applied Stochastic Control of Jump Diffusions 1 Stochastic Calculus with Jump diffusions . . . . . . . . . . . . . . . . . . 1 1.1 Basic definitions and results on L´evy Processes . . . ...2011-3-12 22:25 - 彭小帆 - 金融学（理论版）

Applied Stochastic Control of Jump Diffusions (Universitext系列)
2 个回复 - 2410 次查看 Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dyna ...2015-5-16 23:41 - lasgpope - 量化投资

Floyd Hanson_Applied Stochastic Processes and Control for Jump-Diffusions
1 个回复 - 2010 次查看金融工程理论到实践必备的教科书： Floyd Hanson_Applied Stochastic Processes and Control for Jump-Diffusions Modeling, Analysis, and Computation2010-10-8 10:51 - hbpxp - 金融工程（数量金融）与金融衍生品

Applied Stochastic Processes and Control for Jump Diffusions
10 个回复 - 4231 次查看这是一本有关跳-扩散方面的书2010-7-13 08:56 - qianyiping - 金融工程（数量金融）与金融衍生品

【下载】Applied Stochastic Processes and Control for Jump-Diffusions
12 个回复 - 4989 次查看原版PDF Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation Floyd B. Hanson 2007 by the Society for Industrial and Applied Mathematics. Conte ...2010-7-11 23:10 - tmdzhu - 计量经济学与统计软件

PointProcessesandJumpDiffusions_AnIntroductionwithFinanceApplications
2 个回复 - 2218 次查看 2022-9-12 19:22 - 149498 - 计量经济学与统计软件

Applied Stochastic Control of Jump Diffusions
6 个回复 - 3422 次查看仅供参考注意版权不要藏书下载后学习2019-8-11 09:26 - greenaven - 金融学（理论版）

Estimation of a Self-Exciting Jump Diffusion Model for Oil Price by a Particle M
0 个回复 - 361 次查看【作者(必填)】L Gonzato, C Sgarra 【文题(必填)】Estimation of a Self-Exciting Jump Diffusion Model for Oil Price by a Particle Markov Chain Monte Carlo Method 【年份(必填)】2018 【全文链接或数据 ...2020-7-22 21:06 - ssylzz - 文献求助专区

Structural credit risk modelling with Hawkes jump diffusion processes
3 个回复 - 776 次查看【作者(必填)】YongMaa[/backcolor]WeidongXub[/backcolor] 【文题(必填)】 Structural credit risk modelling with Hawkes jump diffusion processes【年份(必填)】2016 【全文链接或数据库名称(选填)】http ...2020-6-7 16:18 - ssylzz - 求助成功区

Applied Stochastic Control of Jump Diffusions
6 个回复 - 775 次查看【作者(必填)】【文题(必填)】Applied Stochastic Control of Jump Diffusions 【年份(必填)】2019 【全文链接或数据库名称(选填)】https://link.springer.com/book/10.1007/978-3-030-02781-02019-4-19 07:45 - nivastuli - 求助成功区

Nonlinear Filtering and Market Implied Rating for a Jump-diffusion Structural Mo
2 个回复 - 473 次查看【作者(必填)】 Alaa El-Shazly 【文题(必填)】Nonlinear Filtering and Market Implied Rating for a Jump-diffusion Structural Model of Credit Risk[/backcolor]出自World Scientific Publishing[/backcolor]2019-2-12 19:42 - enmeng1217 - 求助成功区

Jump diffusion processes in financial modeling. by Ning Cai (Sep 3, 2011)
4 个回复 - 1270 次查看【作者(必填)】 Ning Cai 【文题(必填)】 Jump diffusion processes in financial modeling 【年份(必填)】 Sep 3, 2011 【全文链接或数据库名称(选填)】 http://www.amazon.com/Ju ...2013-6-15 14:21 - johnzi0128 - 文献求助专区

求论文Displaced Jump-Diffusion Option Valuation
10 个回复 - 1283 次查看【作者(必填)】António Camara , Tim Krehbiel , Weiping Li[/backcolor] 【文题(必填)】Displaced Jump-Diffusion Option Valuation 【年份(必填)】The Journal of Derivatives [/backcolor]Winter 2009, Vo ...2014-8-15 11:12 - weilinhy - 求助成功区

求文献 Jump-Diffusion Calibration Using Differential Evolution
2 个回复 - 926 次查看【作者(必填)】David Ardia, Juan David, Ospina Arango, Norman Diego Giraldo Gómez 【文题(必填)】Jump-Diffusion Calibration Using Differential Evolution 【年份(必填)】2011 【全文链接或数据库名 ...2013-5-20 19:48 - weilinhy - 求助成功区

Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distri
6 个回复 - 1354 次查看【作者(必填)】 MC Fu, B Li, G Li, R Wu 【文题(必填)】 Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions【年份(必填)】 2016 【全文链接或数据库名称(选填)】http ...2016-11-12 21:56 - 糖铺老木村 - 求助成功区

求文献COMPUTATION of GREEKS for JUMP-DIFFUSION MODELS
2 个回复 - 602 次查看【作者(必填)】Eddahbi, M.[/backcolor] Ben Cherif, S.M.L.[/backcolor] Nasroallah, A.[/backcolor] 【文题(必填)】COMPUTATION of GREEKS for JUMP-DIFFUSION MODELS[/backcolor] 【年份(必填)】2015 ...2016-8-3 22:34 - weilinhy - 求助成功区

Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
1 个回复 - 548 次查看【作者(必填)】Robert J. Elliotta*, Tak Kuen Siub, Leunglung Chanc 【文题(必填)】Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model 【年份(必填)】2007 【全文链接或数据库名 ...2016-5-27 11:29 - hnu123 - 求助成功区

Pricing vulnerable options with correlated jump-diffusion processes
2 个回复 - 644 次查看【作者(必填)】Huawei Niu & Dingcheng Wang 【文题(必填)】Pricing Vulnerable Options With Correlated Jump-Diffusion Processes Depending On Various States Of The Economy 【年份(必填)】2016 【全 ...2016-4-12 09:18 - lipj - 求助成功区

RMB 1K+: 求帮忙 MCMC 参数估计Affine Jump Diffusion Model (ADJ)
0 个回复 - 914 次查看 RMB 1K+: 求帮忙 MCMC 参数估计Affine Jump Diffusion Model (ADJ) 最近在做点小论文，发现MCMC对ADJ的参数估计有点吃力。想求大牛帮忙，重金酬谢。也可以合作论文, (JBF is out targeting journal)。有大牛者联系 ...2016-4-1 13:04 - A07120320 - 计量经济学与统计软件

Applied Stochastic Controlof Jump Diffusions[清晰]
3 个回复 - 2261 次查看随机分析和随机控制的经典文献！2010-6-2 18:25 - tony2012 - 金融工程（数量金融）与金融衍生品

随机控制的好书：Applied Stochastic Control of Jump Diffusions
12 个回复 - 3377 次查看随机控制著作：Applied Stochastic Control of Jump Diffusions ，B.Oksendal2009-10-21 19:26 - aping7132 - 计量经济学与统计软件

Asymptotic Inference for Jump Diffusions with State-Dependent Intensity 1h 由 I.
1 个回复 - 828 次查看 Asymptotic Inference for Jump Diffusions with State-Dependent Intensity [/url] 由 I. Gaia Becheri, Feike C. Drost, Bas J.M. Werker[/url] 通过 Scandinavian Journal of Statistics[/url] ...2015-11-6 21:04 - oliyiyi - LATEX论坛

[QUANT] GBM+GARCH+Jump Diffusion+VG+Mean Reverting+Vasicek+Expo-Vasicek+CIR
13 个回复 - 3979 次查看本帖最后由 wanghaidong918 于 2013-1-13 02:09 编辑发一个top paper 先看目录 Contents Introduction Basic Stochastic Processes: GBM GARCH Models Jump Diffusion Models Variance Gamma proces ...2012-12-25 18:06 - jesaisrien - 金融学（理论版）

Convertible bond valuation in a jump diffusion setting with stochastic interest
1 个回复 - 827 次查看【作者(必填)】Laura Ballottaa & Ioannis Kyriakoua 【文题(必填)】Convertible bond valuation in a jump diffusion setting with stochastic interest rates 【年份(必填)】2015 【全文链接或数据库名称 ...2015-8-18 11:49 - lipj - 求助成功区

Analytical pricing of vulnerable options under a generalized jump–diffusion
2 个回复 - 795 次查看【作者(必填)】Farzad Alavi Fard 【文题(必填)】Analytical pricing of vulnerable options under a generalized jump–diffusion model 【年份(必填)】2015 【全文链接或数据库名称(选填)】http://www.sc ...2015-6-8 10:25 - lipj - 求助成功区

Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion
3 个回复 - 960 次查看【作者(必填)】Lihui Tian, Guanying Wang, Xingchun Wang and Yongjin Wang 【文题(必填)】Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes 【年份(必填)】2013 ...2015-6-2 12:28 - lipj - 求助成功区

A Jump-Diffusion Approach To Modelling Vulnerable Option Pricing
3 个回复 - 929 次查看【作者(必填)】Weidong Xua, , Weijun Xub, , Hongyi Lic, , Weilin Xiaob, , 【文题(必填)】A Jump-Diffusion Approach To Modelling Vulnerable Option Pricing 【年份(必填)】2012 【全文链接或数据库名 ...2015-6-2 08:41 - lipj - 求助成功区

Computation of Greeks using binomial trees in a jump-diffusion model
2 个回复 - 982 次查看【作者(必填)】Shintaro Suda , Yoshifumi Muroi 【文题(必填)】Computation of Greeks using binomial trees in a jump-diffusion model 【年份(必填)】2015 【全文链接或数据库名称(选填)】http://www.sc ...2015-5-27 19:53 - lipj - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and I
1 个回复 - 716 次查看【作者(必填)】【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份(必填)】 Volume 7, Is ...2015-2-8 00:53 - ssylzz - 求助成功区

Equity-credit modeling under affine jump-diffusion models with jump-to-default
2 个回复 - 700 次查看【作者(必填)】【文题(必填)】Equity-credit modeling under affine jump-diffusion models with jump-to-default 【年份(必填)】ournal of Financial Engineering < Previous Article Next Arti ...2015-1-22 00:01 - ssylzz - 求助成功区

Recurrence and transience for jump–diffusion processes
1 个回复 - 832 次查看【作者(必填)】【文题(必填)】Recurrence and transience for jump–diffusion processes 【年份(必填)】【全文链接或数据库名称(选填)】http://www.tandfonline.com/doi/a ... lsaa20#.VKsGndKUf9V[/bac ...2015-1-14 14:44 - ssylzz - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and I
1 个回复 - 697 次查看【作者(必填)】【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份(必填)】Mathematical F ...2015-1-14 11:29 - ssylzz - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility
3 个回复 - 1066 次查看【作者(必填)】Louis O. Scott 【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份(必填)】 ...2015-1-11 19:26 - lipj - 求助成功区

求正式版Recurrence and transience for jump–diffusion processes
2 个回复 - 948 次查看 2015-1-6 05:50 - ssylzz - 文献求助专区

正式版FX options pricing in logarithmic mean-reversion jump-diffusion mod
1 个回复 - 1080 次查看【作者(必填)】【文题(必填)】FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility ☆ 【年份(必填)】【全文链接或数据库名称(选填)】http://www.scienced ...2015-1-6 05:21 - ssylzz - 文献求助专区

求正式版Invariant Measure for Diffusions with Jumps
2 个回复 - 890 次查看【作者(必填)】【文题(必填)】Invariant Measure for Diffusions with Jumps 【年份(必填)】【全文链接或数据库名称(选填)】http://link.springer.com/article/10.1007%2Fs0024599001182015-1-6 05:47 - ssylzz - 求助成功区

first passsage times of a jump diffusion process
1 个回复 - 934 次查看【作者(必填)】【文题(必填)】first passsage times of a jump diffusion process 【年份(必填)】【全文链接或数据库名称(选填)】http://www.jstor.org/discover/10.2307/1428433?sid=21105003808631&uid ...2015-1-6 01:17 - ssylzz - 求助成功区

Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and t
1 个回复 - 902 次查看【作者(必填)】【文题(必填)】Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options 【年份(必填)】【全文链接或数据库名称(选填)】http://pubsonline ...2015-1-6 01:31 - ssylzz - 求助成功区

正式版A Jump-Diffusion Model for Option Pricing
2 个回复 - 1962 次查看【作者(必填)】【文题(必填)】A Jump-Diffusion Model for Option Pricing 【年份(必填)】【全文链接或数据库名称(选填)】http://pubsonline.informs.org/doi/abs/10.1287/mnsc.48.8.1086.1662015-1-6 01:28 - ssylzz - 求助成功区

正式版Option Pricing Under a Double Exponential Jump Diffusion Model
1 个回复 - 820 次查看【作者(必填)】【文题(必填)】Option Pricing Under a Double Exponential Jump Diffusion Model 【年份(必填)】【全文链接或数据库名称(选填)】http://pubsonline.informs.org/doi/abs/10.1287/mnsc.1030. ...2015-1-6 01:15 - ssylzz - 求助成功区

An Ergodic Control Problem for Reflected Diffusion with Jump
2 个回复 - 852 次查看【作者(必填)】 [*]JOSÉ LUIS MENALDI† and [*]MAURICE ROBIN 【文题(必填)】An Ergodic Control Problem for Reflected Diffusion with Jump 【年份(必填)】1984 【全文链接或数据库名称 ...2014-9-3 08:06 - ssylzz - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility
2 个回复 - 1128 次查看【作者(必填)】Louis O. Scott 【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份(必填)】 ...2014-7-1 23:50 - lipj - 求助成功区

Equilibrium asset and option pricing under jump diffusion
2 个回复 - 1272 次查看【作者(必填)】 [*]Jin E. Zhang, [*]Huimin Zhao and [*]Eric C. Chang 【文题(必填)】Equilibrium asset and option pricing under jump diffusion 【年份(必填)】Volume 22, Issue 3, pages 538–568, ...2014-4-8 22:55 - nkky2011 - 求助成功区

Do affine jump-diffusion models require global calibration ?
1 个回复 - 672 次查看【作者(必填)】Seungho Yang & Jaewook Lee 【文题(必填)】Do affine jump-diffusion models require global calibration? Empirical studies from option markets 【年份(必填)】Quantitative Finance Volu ...2014-3-28 23:52 - nkky2011 - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility
1 个回复 - 487 次查看【作者(必填)】 [*]Louis O. Scott 【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份( ...2014-2-20 15:53 - hnhs100 - 求助成功区

Analytical approximations of the term structure for jump-diffusion processes: a
3 个回复 - 842 次查看【作者(必填)】 Baz and Das 【文题(必填)】 Analytical approximations of the term structure for jump-diffusion processes: a numerical analysis 【年份(必填)】 1996 The Journal of Fixed Inc ...2014-1-24 00:01 - xuning5176 - 求助成功区

Structural Approach of Credit Risk with Jump Diffusion Process: Credit Risk Mode
2 个回复 - 973 次查看【作者(必填)】 Thanh Binh DAO 【文题(必填)】Structural Approach of Credit Risk with Jump Diffusion Process: Credit Risk Models & Application 【年份(必填)】July 6, 2011 【全文链接或数据库名称(选 ...2013-12-6 16:23 - johnzi0128 - 文献求助专区

First-Passage Problems for One-Dimensional Diffusions with Random Jumps from a B
2 个回复 - 592 次查看【作者(必填)】Mario Abundoa* 【文题(必填)】First-Passage Problems for One-Dimensional Diffusions with Random Jumps from a Boundary 【年份(必填)】Stochastic Analysis and Applications Volume 29, ...2013-11-22 23:43 - ssylzz - 求助成功区

A jump-diffusion approach to modelling vulnerable option pricing
1 个回复 - 663 次查看【作者(必填)】【文题(必填)】A jump-diffusion approach to modelling vulnerable option pricing 【年份(必填)】Finance Research Letters Volume 9, Issue 1, March 2012, Pages 48–56 【全文链接或数 ...2013-10-4 10:16 - ssylzz - 求助成功区

Stochastic Volatility Jump-Diffusions for European Equity Index Dynamics
1 个回复 - 454 次查看【作者(必填)】 [*]Andreas Kaeck, [*]Carol Alexander 【文题(必填)】Stochastic Volatility Jump-Diffusions for European Equity Index Dynamics 【年份(必填)】2013 【全文链接或数据库名称(选填)】htt ...2013-8-3 21:18 - hnhs100 - 求助成功区

Jump-Diffusion Processes and the Term Structure of Interest Rates
1 个回复 - 862 次查看【作者(必填)】Chang Mo Ahn and Howard E. Thompson[/backcolor] 【文题(必填)】Jump-Diffusion Processes and the Term Structure of Interest Rates 【年份(必填)】1988 【全文链接或数据库名称(选填)】 ...2013-7-8 22:34 - 明秀南 - 求助成功区

Robust numerical methods for contingent claims under jump diffusion processes
3 个回复 - 1051 次查看【作者(必填)】 [*]Y. d'Halluin1,*, [*]P. A. Forsyth1,§ and [*]K. R. Vetzal2,¶ 【文题(必填)】 Robust numerical methods for contingent claims under jump diffusion processe 【年份(必填)】 ...2013-6-15 06:55 - johnzi0128 - 求助成功区

Jump Diffusion and Stochastic Volatility Models in Securities Pricing: Theory an
0 个回复 - 717 次查看【作者(必填)】 Mthuli Ncube (Author), Sambulo Malumisa (Author) 【文题(必填)】Jump Diffusion and Stochastic Volatility Models in Securities Pricing: Theory and Estimation for Various Asset Classes ...2013-6-15 13:43 - johnzi0128 - 文献求助专区

Analytical approximations of the term structure for jump-diffusion processes: A
2 个回复 - 708 次查看【作者(必填)】Jamil Baz and Sanjiv Ranjan Das 【文题(必填)】 Analytical approximations of the term structure for jump-diffusion processes: A numerical analysis 【年份(必填)】The Journal of Fixed ...2013-6-15 07:13 - johnzi0128 - 求助成功区

Exact simulation of stochastic volatility and other affine jump diffusion proces
2 个回复 - 874 次查看【作者(必填)】 [*]Mark Broadie (mnb2@columbia.edu) and [*]Özgür Kaya (okaya@lehman.com) 【文题(必填)】 Exact simulation of stochastic volatility and other affine jump diffusion processes ...2013-6-15 06:50 - johnzi0128 - 求助成功区

Dynamic Hedging Under Jump Diffusion with Transaction Costs
1 个回复 - 683 次查看【作者(必填)】 [*]J. S. Kennedy (shannon.kennedy@morganstanley.com), [*]P. A. Forsyth (paforsyt@uwaterloo.ca) and [*]K. R. Vetzal (kvetzal@uwaterloo.ca) 【文题(必填)】Dynamic Hedging Under Jump ...2013-4-21 09:38 - 迷途mitu - 求助成功区

[分享]Amin（1993）-Jump Diffusion Option Valuation in Discrete Time
2 个回复 - 3435 次查看 The Journal of Finance的文章就是难找，sciencedirect都没收录啊，jstor上估计有，请哪位能上的帮帮忙啊 Amin, I. K. , (1993), “ Jump Diffusion Option Valuation in Discrete Time, ” The Journal of Finance ...2004-12-14 20:58 - 还珠楼主 - 金融学（理论版）

Warrant Pricing: Jump-Diffusion vs. Black-Scholes
5 个回复 - 2067 次查看 Warrant Pricing: Jump-Diffusion vs. Black-Scholes[*]Article author querykremer jw [Google Scholar] [*]roenfeldt rl [Google Scholar] Joseph W. Kremer and Rodney L. Roenfeldt*Journal of Financial and Q ...2011-3-31 09:14 - sqq19860225 - 文献求助专区

Numerical Analysis of Jump Diffusion
5 个回复 - 2055 次查看 Numerical Analysis of Jump Diffusion Model (by Daniel Duffy)2010-8-18 07:30 - LeonBham - 金融工程（数量金融）与金融衍生品

first passage times of a jump-diffusion process
1 个回复 - 2063 次查看是一篇很好的文章哦！S.G.KOU的经典文章！2009-10-27 01:35 - hww1001156 - 论文版

Applied Stochastic Control of Jump Diffusions ebook
5 个回复 - 3145 次查看 Applied Stochastic Control of Jump Diffusions ebook带跳扩散过程的随机控制2009-5-10 21:31 - jcfllx - 微观经济学

Applied Stochastic Control of Jump Diffusions
1 个回复 - 1473 次查看 springer书籍随机控制由于不知道怎样传照片，简单写下目录 chapter1：stochastic calculus with jump diffusions chapter2：optimal stopping of jump diffusions chapter3：stochastic control of jump ...2010-5-24 17:59 - dackation - 金融工程（数量金融）与金融衍生品

这里有人研究利率jump-diffusion process吗？
0 个回复 - 1293 次查看硕士论文快要开题了，想写一个对jump-diffusion process利率模型的参数估计问题。不带跳的CIR模型貌似参数估计问题都解决了，所以想把CIR参数估计的方法借鉴到jump-diffusion process利率模型中。我对这一块还不太熟 ...2010-5-17 16:19 - warrenzhang - 爱问频道

Applied Stochastic Control of Jump Diffusions
1 个回复 - 1746 次查看 2010-2-20 01:26 - SleepyTom - 金融学（理论版）

Optimizing Venture Capital Investments in a Jump Diffusion Model
1 个回复 - 1729 次查看 Optimizing Venture Capital Investments in a Jump Diffusion Model2010-1-7 23:50 - zengyan1984 - 论文版

First Passage Times of a Jump Diffusion Process
0 个回复 - 2078 次查看 First Passage Times of a Jump Diffusion Process2009-12-27 23:05 - zengyan1984 - 论文版

A Jump Diffusion Model For Option Pricing
0 个回复 - 1825 次查看 A Jump Diffusion Model For Option Pricing2009-12-27 22:50 - zengyan1984 - 论文版

about Jump-diffusion model
2 个回复 - 2656 次查看 who has empirical papers or introduction to Jump-diffusion model for pricing2005-7-13 23:00 - gegeda - 金融学（理论版）

A Jump-Diffusion Model with Stochastic Volatility and Durations
0 个回复 - 210 次查看 2004-12-1 00:20 - 非系统风险628 - Forum

Structural estimation of jump-diffusion processes in macroeconomics
0 个回复 - 398 次查看 2004-8-6 18:30 - 收入弹性862 - Forum

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