Equivalent and absolutely continuous measure changes for jump-diffusion processes Patrick Cheridito∗ Damir Filipovi´c

Source URL: www.princeton.edu

A Jump-Diffusion Model for Option Pricing S. G. Kou Department of Industrial Engineering and Operations Research, 312 Mudd Building, Columbia University, New York, New York 10027

Source URL: www.rmi.nus.edu.sg

This article was downloaded by: [On: 18 July 2016, At: 23:35 Publisher: Institute for Operations Research and the Management Sciences (INFORMS) INFORMS is located in Maryland, USA Management Science Publi

Source URL: www.rmi.nus.edu.sg

• Statistics
• Mathematical finance
• Probability
• Mathematical analysis
• Stochastic processes
• Technical analysis
• Options
• Probability distributions
• Volatility
• VIX
• Stochastic volatility
• Jump diffusion

Threshold estimation of jump-diffusion models and interest rate modeling∗ Cecilia Mancini§ and Roberto Reno` ∗ September 15, 2006 Abstract

Source URL: www.istfin.eco.usi.ch

• Statistical theory
• Estimation theory
• Normal distribution
• Bias of an estimator
• Maximum likelihood estimation

MANAGEMENT SCIENCE Vol. 57, No. 11, November 2011, pp. 2067–2081 issn — eissn — 11 — 5711 — 2067 http://dx.doi.orgmnsc

Source URL: www.rmi.nus.edu.sg

• Probability distributions
• Stochastic processes
• Options
• Mathematical finance
• Exponentials
• Lookback option
• BlackScholes model
• Exponential distribution
• Weibull distribution
• Normal distribution
• Jump diffusion
• Phase-type distribution

Electronic Companion Option Pricing under a Mixed-exponential Jump Diffusion Model Ning Cai and S. G. Kou HKUST and Columbia University A

Source URL: www.rmi.nus.edu.sg

• Ordinary differential equations
• Linear differential equation
• Lambert W function
• Normal distribution
• Bessel function
• Heat equation

Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model Ning Cai1 and S. G. Kou2 Room 5521, Department of IELM, HKUSTMudd Building, Department of IEOR, Columbia University

Source URL: www.rmi.nus.edu.sg

Fourth Order Compact Scheme with Local Mesh Refinement for Option Pricing in Jump-Diffusion Model ∗ Spike T. Lee† Hai-Wei Sun‡

Source URL: www.cis.umac.mo

Structural estimation of jump-diffusion processes in macroeconomics Olaf Posch∗ Aarhus University and CREATES June 2009

Source URL: www.oposch.com

A SIMPLE OPTION FORMULA FOR GENERAL JUMP-DIFFUSION AND OTHER EXPONENTIAL LÉVY PROCESSES ALAN L. LEWIS* Envision Financial Systems and OptionCity.net

Source URL: www.optioncity.net

• Probability theory
• Lévy process
• Characteristic function
• Normal distribution
• Methods of contour integration
• Fourier transform
• Gamma process
• Martingale
• Brownian motion
• Statistics
• Stochastic processes
• Mathematical analysis