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Showing 1 to 6 of 6 for “"Jump-diffusion process"”.
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Analytical Estimation of Value at Risk Under Thick Tails and Fast Volatility Updating
… from stochastic volatility and event risk (jumps). Those two sources are not totally separated; under event risk, volatility updates faster than under normal market conditions. Generally, tail thickness is associated with hyper volatility updating. Existing VaR literature accounts partially …
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Optimal choices: mean field games with controlled jumps and optimality in a stochastic volatility model
… field games with a state variable evolving as a jump-diffusion process is studied. Under fairly general conditions, the existence of a solution in a relaxed version of these games is established and conditions under which the optimal strategies are in fact Markovian are given. The proofs rely …
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Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process
The mixture of Wiener and a Poisson processes are the primary tools used in creating jump-diffusion process which is very popular in mathematical modeling. In financial mathematics, they are used to describe the change of stock rates and bonanzas, and they are often used in mathematical biology …
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The Impact of Loss Aversion and Market Sentiment on Implied Volatility Skews.
… non-continuous trading markets which follow a jump diffusion process, can all result in distortions in the implied volatility surface. Furthermore, a limitation of arbitrage due to herding and the positioning of market participants also contribute to this inconsistency. The empirical study of …
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Bounds and Low-Rank Approximation for Controlled Markov Processes
Stochastic processes have captivated scientific interest by balancing conceptual simplicity with the ability to model complex, poorly understood, or even entirely unknown phenomena. Still, the deployment of stochastic process models remains challenging in practice due to their intrinsically …
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Selección óptima de portafolio para una compañía aseguradora
En este documento se estudia el problema en tiempo continuo de selección óptima de portafolio para una compañía aseguradora que respalda las reclamaciones con los beneficios de las venta de contratos de seguros y los ingresos resultantes de invertir en el mercado financiero. Usando el método de …