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Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes · Study

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ChapterStochastic Analysis of Jump-Diffusions for Financial Log-Return Processes

Floyd B. Hanson2007

Chapter2007

Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes

Floyd B. Hanson · J.J. Westman

28 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1991Continuous-Time Finance.1991Continuous-Time Finance.2006Paul Wilmott on Quantitative Finance

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach

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2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computationbook · 8 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 6 shared references 1989On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurancearticle · 6 shared references 2002Nonlinear Filtering of Stochastic Differential Equations with Jumpspreprint · 6 shared references 1998Arbitrage Theory in Continuous Timebook · 5 shared references 2016Numerical Solution of Stochastic Differential Equationschapter · 5 shared references

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Year2007

Typechapter

Published2007-08-05

VenueSpringer eBooks

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/3-540-48022-6_13

openalex_workW4953610

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