We consider the problem of the simulation of Lévy-driven stochastic differential equations. It is generally impossible to simulate the increments of a Lévy-process. Thus in addition to an Euler scheme, we have to simulate approximately these increments. We use a method in which the large jumps are simulated exactly, while the small jumps are approximated by Gaussian variables. Using some recent...

Using high-frequency stock market data and (synthetic) variance swap rates, this paper identifies and investigates the temporal variation in the market variance risk premium. The variance risk is manifest in two salient features of financial returns: stochastic volatility and jumps. The pricing of these two separate components is analyzed in a general semiparametric framework. The key empirical...

In the present paper we generalize Eckhoff’s method, i.e., the method for approximating the locations of discontinuities and the associated jumps of a piecewise smooth function by means of its Fourier-Chebyshev coefficients. A new method enables us to approximate the locations of discontinuities and the associated jumps of a discontinuous function, which belongs to a restricted class of the pie...

For sequential jumps detection, isolation and estimation in discrete-time stochastic linear systems, Willsky and Jones (1976) have developed the Generalized Likelihood Ratio (GLR) test. For the treatment of sequential jumps, the jump-free Kalman filter is updated on-line after each detection of one jump by a direct state estimate and covariance incrementation using the informations produced by ...

This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a minimal solution for these so-called constrained BSDEs with jumps via a penalization procedure. This new type of BSDE offers a nice and practical unifying fram...

BACKGROUND Jumping and landing tasks that have a change in direction have been implicated as a mechanism of noncontact anterior cruciate ligament injury. Yet, to date, neuromuscular and biomechanical research has focused primarily on straight landing tasks during planned jumps. HYPOTHESIS Lateral and reactive jumps increase the neuromuscular and biomechanical demands placed on the anterior cr...

The purpose of this paper is to review the biomechanics of triple and quadruple figure skating jumps, focusing on information that has implications for strength and conditioning programs. At a minimum, to complete the required revolutions in a jump, a skater must balance the average angular velocity with the time in the air. Vertical velocity at takeoff is similar in high revolution jumps to th...