This last quarter of college for senior project, I will be doing research on the application of jump-diffusion processes to pricing derivatives. I was wondering if anyone could recommend any resources that deals with this topic. Also any advice on going about understanding this topic at all would be greatly appreciated.

Also if you know maybe some other interesting topics/question for topics similar I would love to hear.


1 Answer 1


I am not absolutely sure what you mean by diffusion-jump but if you mean jump-diffusion. Here are some references:

Chapter 15, Concepts and Practice of Mathematical Finance, Joshi

Cont and Tankov, Financial Modelling with Jump Processes

Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options, Mark S. Joshi, Terence Leung

  • $\begingroup$ Oh sorry yea got terms switched $\endgroup$
    – Kamster
    Apr 3, 2015 at 5:06

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