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Showing 1 to 8 of 8 for “"Jump-diffusion processes"”.
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Analysis of equity and interest rate returns in South Africa under the context of jump diffusion processes
… interest in the modelling of asset returns using jump diffusion processes. This was in part as a result of the realisation that the standard diffusion processes, which do not allow for jumps, were not able to capture the stylized facts that return distributions are leptokurtic and have heavy …
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Finite activity jump models for option pricing
… aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. …
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Non-Linear diffusion processes and applications
Diffusion models are useful tools for quantifying the dynamics of continuously evolving processes. Using diffusion models it is possible to formulate compact descriptions for the dynamics of real-world processes in terms of stochastic differential equations. Despite the exibility of these models, …
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Sequential Modelling and Inference of High-frequency Limit Order Book with State-space Models and Monte Carlo Algorithms
… as point data. Chapter 3 extends a baseline jump diffusion model for market fair-price process to include three additional model features taken from real-world market intuitions. In Chapter 4, another price model is developed to account for both long-term and short-term diffusion behaviours …
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Characterizations of and closed-form solutions for plain vanilla and exotic derivatives
… extension of the Kou (2002) double exponential jump-diffusion model. Displacing the two exponential tails introduces additional degrees of asymmetry in the jump size distribution. The model dynamics are supported by a general equilibrium framework. Our main contribution is to derive closed-form …
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Financial Portfolio Risk Management: Model Risk, Robustness and Rebalancing Error
… rebalanced counterpart in the presence of jumps or mean-reversion in the underlying asset dynamics. With discrete rebalancing, the portfolio's composition is restored to a set of fixed target weights at discrete intervals; with continuous rebalancing, the target weights are maintained at …
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Monte-Carlo Simulation of Diffusion as an Aid to Interpreting Quasi-elastic Neutron Scattering from Lattice Gas Systems with Diffusion on Multiple Time-Scales
… systems. Direct measurement of the diffusion processes in these systems is provided by quasi-elastic neutron scattering (QENS); the timescales that can be observed are dependent on the energy range and resolution of the instru- mentation. Historical QENS measurements of PdH have been …
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Numerical Analysis of Jump-Diffusion Models for Option Pricing
Jump-diffusion models can under certain assumptions be expressed as partial integro-differential equations (PIDE). Such a PIDE typically involves a convection term and a nonlocal integral like for the here considered models of Merton and Kou. We transform the PIDE to eliminate the convection term, …