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Jump diffusion processes and their applications in insurance and finance · Study

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ArticleJump diffusion processes and their applications in insurance and finance

Jiwook Jang2006

Article2006

Jump diffusion processes and their applications in insurance and finance

44 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1985A Theory of the Term Structure of Interest Rates 2003Financial Modelling with Jump Processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1984Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models 1979An introduction to mathematical risk theory 2003Stochastic Volatility for Lévy Processes 1970Mathematical Methods in Risk Theory 2004Option Pricing Under a Double Exponential Jump Diffusion Model

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2011On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula 2008Parametric and nonparametric models and methods in financial econometrics

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Year2006

Typearticle

Published2006-11-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations44

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2006.09.006

openalex_workW2016375810

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