Jump diffusion - PDFSEARCH.IO - Document Search Engine

Jump diffusion
Results: 35

#	Item
31	John Crosby Commodities: A simple Multi-factor Jump-Diffusion Model John Crosby, Lloyds TSB Financial Markets, Faryners House, 25 Monument Street, London EC3R 8BQ Email : [removed] Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:34:34 Mathematical finance Finance Black–Scholes Futures contract Brownian motion Risk-neutral measure Forward price Forward contract Martingale Statistics Financial economics Stochastic processes
32	Approximating L´ evy processes by a hyperexponential jump-diffusion process with a view to option pricing John Crosby Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2009-11-22 13:21:30 Statistical mechanics Brownian motion Colloidal chemistry Fractals Robert Brown Diffusion process Statistics Stochastic processes Probability and statistics
33	Time-Changed L´evy Processes and Option Pricing∗ Peter Carra, †, Liuren Wub, ‡ a Courant Institute, New York University, 251 Mercer Street, New York, NY 10012 Add to Reading List Source URL: www.bnet.fordham.edu Language: English - Date: 2009-05-21 17:41:33 Options Stochastic volatility Black–Scholes Jump diffusion Lévy process Volatility Brownian motion Wiener process Compound Poisson process Statistics Stochastic processes Mathematical finance
34	An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs Artur Sepp Bank of America Merrill Lynch [removed] Add to Reading List Source URL: math.ut.ee Language: English - Date: 2010-05-14 02:48:08 Investment Implied volatility Volatility Black–Scholes VIX Hedge Realized variance Option Mathematical finance Financial economics Finance
35	Computational Techniques for basic Affine Models of Portfolio Credit Risk Andreas Eckner∗ Add to Reading List Source URL: www.eckner.com Language: English - Date: 2014-01-18 16:24:58 Structured finance Fixed income securities United States housing bubble Mortgage-backed security Credit default swap Collateralized debt obligation Tranche Credit derivative Basic affine jump diffusion Financial economics Finance Investment

UPDATE