This paper treats jump-diffusion processes in continuous time, with emphasis on jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights or reciprocal variances are chosen by the theory ...

This paper treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights or reciprocal variances are chosen as by the ...

Derivatives are alternative financial instruments which extend traders opportunities to achieve some financial goals. They are risk management instruments that are related to a data in the future, and also they react to uncertain prices. Study on pricing futures can provide useful tools to understand the stochastic behavior of prices to manage the risk of price volatility. Thus, this study eval...

We consider the problem of valuation of certain Asian options in the geometric jump-diffusion models with continuously dividend-paying assets. With the sources of diffusion risks and two primitive tradeable assets, the market in this model is, in general, incomplete, and so, there are more than one equivalent martingale measures and no-arbitrage prices. For this jump-diffusion model, we adopt t...

URL: www.thejournalofcomputationalfinance.com This paper develops formulas for pricing caps and swaptions in Libor market models with jumps. The arbitrage-free dynamics of this class of models were characterized in Glasserman and Kou (2003) in a framework allowing for very general jump processes. For computational purposes, it is convenient to model jump times as Poisson processes; however, the...

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jumpamplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlimited borro...

We develop the process of discounting when underlying rates follow a jump-diffusion process, that is, when, in addition to diffusive behavior, suffer series finite discontinuities located at random Poissonian times. Jump amplitudes are also and governed by an arbitrary density. Such model may describe economic evolution, specially extreme situations occur (pandemics, global wars, etc.). When, b...