Related papers: Arbitrage-Free Pricing with Diffusion-Dependent Ju…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…
Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time-discretisations which inevitably lead to…
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of…
We analyze the open dynamics of quantum systems conditioned on no jumps being detected. We first obtain general results relating the no-jump probability and the waiting-time distributions to the conditional evolution of specific system…
We consider a discrete-time incomplete multi-asset market model with continuous price jumps. For a wide class of contingent claims, including European basket call options, we compute the bounds of the interval containing the no-arbitrage…
Discrete diffusion models, like continuous diffusion models, generate high-quality samples by gradually undoing noise applied to datapoints with a Markov process. Gradual generation in theory comes with many conceptual benefits; for…
We analyze the thermodynamic structure of jump diffusions combining Brownian and Poisson noise, a class of stochastic dynamics relevant to nonequilibrium statistical physics. For such nonlocal dynamics, the free energy admits a full…
We address the variational formulation of the risk-sensitive reward problem for non-degenerate diffusions on $\mathbb{R}^d$ controlled through the drift. We establish a variational formula on the whole space and also show that the…
In the present paper, we consider that $N$ diffusion processes $X^1,\dots,X^N$ are observed on $[0,T]$, where $T$ is fixed and $N$ grows to infinity. Contrary to most of the recent works, we no longer assume that the processes are…
In this article, we show necessary and sufficient conditions for a function to transform a continuous Markov semimartingale to a semimartingale. As a result, the no-arbitrage principle guarantees the differentiability of asset prices with…
Ivanov-Anderson (IA) model (and an earlier treatment by Kubo) envisages a decay of the orientational correlation by random but large amplitude molecular jumps, as opposed to infinitesimal small jumps assumed in Brownian diffusion. Recent…
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First,…
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for…
We present a generalized linear response theory for mixed jump-diffusion models -- combining Gaussian and L\'evy noise interacting with nonlinear dynamics -- by deriving comprehensive response formulas accounting for perturbations to both…
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulas for the Laplace transform of its…
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
This research presents a comprehensive framework for transitioning financial diffusion models from the risk-neutral (RN) measure to the real-world (RW) measure, leveraging results from probability theory, specifically Girsanov's theorem.…
The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…
The purpose of this paper is to study optimal control of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). To this end, we first prove a stochastic…