Related papers: Jump-diffusion models of parametric volume-price d…
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time…
We present a detailed analysis and implementation of a splitting strategy to identify simultaneously the local-volatility surface and the jump-size distribution from quoted European prices. The underlying model consists of a jump-diffusion…
We introduce a description of the collective transverse dynamics of charged (proton) beams in the stability regime by suitable classical stochastic fluctuations. In this scheme, the collective beam dynamics is described by time--reversal…
Literature is full of inference techniques developed to estimate the parameters of stochastic dynamical systems driven by the well-known Brownian noise. Such diffusion models are often inappropriate models to properly describe the dynamics…
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approach relies on a change of the jump intensity combined with the…
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We detail the derivation of the moments of the return…
We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the…
The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular,…
A novel model of intermittency is presented in which the dynamics of the rates of energy transfer between successive steps in the energy cascade is described by a hierarchy of stochastic differential equations. The probability distribution…
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we…
We investigate temporal behavior of probability density functions (pdfs) of paradigmatic jump-type and continuous processes that, under confining regimes, share common heavy-tailed asymptotic (target) pdfs. Namely, we have shown that under…
This paper is concerned with general spatially explicit versions of three stochastic models for the dynamics of money that have been introduced and studied numerically by statistical physicists: the uniform reshuffling model, the immediate…
The evaluation of the long term stability of a material requires the estimation of its long-time dynamics. For amorphous materials such as structural glasses, it has proven difficult to predict the long-time dynamics starting from static…
The velocity-jump model is a specific type of piecewise deterministic Markov process in which an individual's velocity is constant except at times that form the events of some point process. It represents an interpretable continuous-time…
In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We assume that noisy high-frequency data from a discretely…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi-Markov…
In this paper we study a parametric class of stochastic processes to model both fast and slow anomalous diffusion. This class, called generalized grey Brownian motion (ggBm), is made up off self-similar with stationary increments processes…
In this article, we apply a probabilistic approach to study general mean field type control (MFTC) problems with jump-diffusions, and give the first global-in-time solution. We allow the drift coefficient $b$ and the diffusion coefficient…
We consider the classical problem of particle diffusion in $d$-dimensional radially-symmetric systems with absorbing boundaries. A key quantity to characterise such diffusive transport is the evolution of the proportion of particles…