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Jump diffusion processes and their applications in insurance and finance
16 references·2 citing·36 second hop
Jump diffusion processes and their applications in insurance and finance (2006)Jump diffusion processes and their applic…Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes (2004)Ruin Probabilities and Oversh…Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)Ruin probabilities and oversh…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Moments of compound renewal sums with discounted claims (2001)Moments of compound renewal s…Lévy processes : theory and applications (2001)Lévy processes : theory and a…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Ruin theory with compounding assets — a survey (1998)Ruin theory with compounding …The total claims distribution under inflationary conditions (1989)The total claims distribution…Classical risk theory in an economic environment (1987)Classical risk theory in an e…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Piecewise-Deterministic Marko…An introduction to mathematical risk theory (1979)An introduction to mathematic…Mathematical Methods in Risk Theory. (1971)Mathematical Methods in Risk …Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula (2011)On the Moments of Aggregate D…Parametric and nonparametric models and methods in financial econometrics (2008)Parametric and nonparametric …Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Time-changed Lévy processes and option pricing (2003)Tails, Fears, and Risk Premia (2011)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimal stopping and perpetual options for Lévy processes (2002)First passage times of a jump diffusion process (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Point Processes and Queues: Martingale Dynamics. (1983)Optimal Control with State-Space Constraint. II (1986)State space collapse with application to heavy traffic limits for multiclass queueing networks (1998)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Controlled diffusion models for optimal dividend pay-out (1997)Inf-convolution of risk measures and optimal risk transfer (2005)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Optimal investment for insurer with jump-diffusion risk process (2005)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Measures of risk (2002)Non-parametric calibration of jump–diffusion option pricing models (2004)
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  • 2011On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula42 cited
  • 2008Parametric and nonparametric models and methods in financial econometrics28 cited