相关论文: Global jump filters and realized volatility
The use of stochastic models, in effect piecewise deterministic Markov processes (PDMP), has become increasingly popular especially for the modeling of chemical reactions and cell biophysics. Yet, exact simulation methods, for the…
A single jump filtration $({\mathscr{F}}_t)_{t\in \mathbb{R}_+}$ generated by a random variable $\gamma$ with values in $\overline{\mathbb{R}}_+$ on a probability space $(\Omega ,{\mathscr{F}},\mathsf{P})$ is defined as follows: a set $A\in…
A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantities such as spot rate, stock price and implied volatility.…
We study the existing algorithms that solve the multidimensional martingale optimal transport. Then we provide a new algorithm based on entropic regularization and Newton's method. Then we provide theoretical convergence rate results and we…
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. We test algorithms including regularized regression and…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are often used to estimate integrated volatility. For problems…
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 consider integer-valued random walks with independent but not identically distributed increments, and extend to this context several classical estimates, including a local limit theorem, precise small-ball estimates (both conditional on…
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…
Consider a real-valued branching random walk in the boundary case. Using the techniques developed by A\"id\'ekon and Shi [5], we give two integral tests which describe respectively the lower limits for the minimal position and the upper…
We consider a Markov jump process on a general state space to which we apply a time-dependent weak perturbation over a finite time interval. By martingale-based stochastic calculus, under a suitable exponential moment bound for the…
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset…
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and…
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in units of the num\'{e}raire portfolio. According to the…
In this paper we consider the problem of model choice for a set of insurance loss ratios. We use a reversible jump algorithm for our model discrimination and show how the vanilla reversible jump algorithm can be improved on using recent…
In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier,…
We propose two nonparametric tests for investigating the pathwise properties of a signal modeled as the sum of a L\'{e}vy process and a Brownian semimartingale. Using a nonparametric threshold estimator for the continuous component of the…
A particle filter is introduced to numerically approximate a solution of the global optimization problem. The theoretical significance of this work comes from its variational aspects: (i) the proposed particle filter is a controlled…