I'm currently looking into affine jump-diffusions. I would like to get to know the literature better and I know the paper by Duffie, Pan, and Singleton (2000) is a very celebrated paper. Although I find it a bit abstract as I'm quite new to these types of models. In particular, I'm looking at stochastic volatility model with jumps where the jumps happen in the stock price SDE, variance SDE, and in both SDEs.

My question is: does anyone know a good book/article/lecture notes that present these model (maybe with derivations). I would appreciate if the texts are comprehensive.

  • 1
    $\begingroup$ I found the booky by D. Lamberton, B. Lapeyre, Intrdoduction to Stochastic Calculus Applied to Finance a very good introduction into the mother of all jump diffusion models: the celebrated Merton 76 jump diffusion model. If you want a crash course in semi martinagle theory handling discontinuous processes perhaps the book Prices in Financial Markets by Dothan is a reasonable choice. $\endgroup$
    – Kurt G.
    Feb 22, 2023 at 15:55
  • $\begingroup$ Thank you! I'll look into them :) $\endgroup$
    – Marc Allan
    Feb 22, 2023 at 16:12


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.