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Jump diffusion
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#	Item
11	USC Math. Finance April 22, 2003 “Path-dependent Option Valuation under Jump-diffusion Processes” Alan L. Lewis These overheads to be Add to Reading List Source URL: www.optioncity.net Language: English - Date: 2003-04-23 18:39:10 Fourier transform Characteristic function Mathematical analysis Complex analysis Methods of contour integration
12	Working Paper/Document de travail[removed]Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics Add to Reading List Source URL: www.bankofcanada.ca Language: English - Date: 2013-04-23 11:00:52 Economics VIX Stochastic volatility Variance risk premium Equity premium puzzle Variance swap Volatility Valuation of options Option Mathematical finance Financial economics Finance
13	Long Shots and Economic Policy The importance of jump-diffusion processes --- and especially jumps! --- for biosecurity, water management, fisheries policy, financial stability… Tom Kompas Add to Reading List Source URL: www.acera.unimelb.edu.au Language: English - Date: 2013-10-28 01:08:21 Fish Fisheries management Fishery Fish stock Maximum sustainable yield Sustainable yield in fisheries Fisheries science Environment Fishing
14	Control Improvement for Jump-Diffusion Processes Control Improvement for Jump-Diffusion Processes with Applications to Finance ¨ Nicole Bauerle Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-17 10:41:36 Dynamic programming Markov decision process Stochastic control Bessel function Statistics Mathematical analysis Markov processes
15	Numerical valuation for option pricing under jump-diffusion models by finite differences YongHoon Kwon Younhee Lee Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-20 11:37:46 Crank–Nicolson method Mathematical finance Symbol
16	Option Pricing under a Mixed-Exponential Jump Diffusion Model Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-24 13:19:36 Stochastic processes Options Equations Mathematical finance Exponentials Jump diffusion Normal distribution Phase-type distribution Black–Scholes Statistics Probability and statistics Mathematical analysis
17	1 Exact Sampling of Jump-Diffusion Processes Kay Giesecke and Dmitry Smelov Management Science & Engineering Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-24 14:38:40 Probability space Probability theory Differential equation
18	Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-14 12:56:59 Differential equation Numerical analysis Option Closed-form expression Applied mathematics Science Mathematics Computational science Explicit and implicit methods
19	Realized Jumps on Financial Markets and Predicting Credit Spreads Add to Reading List Source URL: federalreserve.gov Language: English - Date: 2006-10-24 13:00:39 Finance Volatility Realized variance Jump diffusion Local volatility Autoregressive conditional heteroskedasticity Implied volatility Jump process Stochastic volatility Mathematical finance Statistics Financial economics
20	Jump-Diffusion Processes and Affine Term Structure Models: Additional Closed-Form Approximate Solutions, Distributional Assumptions for Jumps, and Parameter Estimates Add to Reading List Source URL: federalreserve.gov Language: English - Date: 2005-12-05 10:54:00 Financial economics Equations Mathematical finance Normal distribution Black–Scholes Jump diffusion Statistics Stochastic processes Options

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