Jump-diffusion models
Wolfgang J. Runggaldier http://www.math.unipd.it/runggaldier/index.html Dipartimento di Matematica Pura ed Applicata, Università di Padova, 7 Via Belzoni, I-35131, Padova, Italy
Abstract
We discuss jump-diffusion type models for financial market as well as methods for pricing and hedging of contingent claims in such markets. We consider both, asset price and term structure models, and deal also with situations when there is a stochastic volatility correlated with the jumps and when one has very small time scales, i.e., high frequency data. To make the presentation possibly self-contained, in a preliminary section we recall some basic notions from stochastic analysis for jump-diffusions.
Keywords
jump-diffusions
Poisson ...
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