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Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering
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Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007)Chapter 2 Jump-Diffusion Models for Asset…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Coherent Measures of Risk (1999)Coherent Measures of RiskA model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…The variation of certain speculative prices (1997)The variation of certain spec…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Recursive Methods in Economic Dynamics (1989)Recursive Methods in Economic…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…A model of investor sentiment /A model of investor sentiment…A bibliographic overview of financial engineering in the emerging financial market (2023)A bibliographic overview of f…A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process (2019)A Gamma Ornstein-Uhlenbeck Mo…A General Framework for Time-Changed Markov Processes and Applications (2018)A General Framework for Time-…Valuing equity-linked death benefits in jump diffusion models (2013)Valuing equity-linked death b…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Judgment under Uncertainty: Heuristics and Biases (1975)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Conditional value-at-risk for general loss distributions (2002)Theory and Applications of Robust Optimization (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1989Recursive Methods in Economic Dynamics3,065 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

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2,865 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • Cited by

    • 2013Valuing equity-linked death benefits in jump diffusion models54 cited
    • 2018A General Framework for Time-Changed Markov Processes and Applications53 cited
    • 2019A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process32 cited
    • 2023A bibliographic overview of financial engineering in the emerging financial market25 cited