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How to estimate lambda for Jump-Diffusion Process from Empirical data?

So, I have really no idea how to go about this, but how would I go about choosing sensible parameter values for a basic jump-diffusion simulation, namely $\lambda$ ? For example, getting the average ...
0
votes
0answers
103 views

Monte Carlo volatily

I was wondering if we could do a forecast on volatility using monte carlo on an underlying asset. For example EUR/USD : Simulating a lot of possible paths on 1 year then calculate the volatilty for ...
8
votes
2answers
1k views

Estimation of Empirical Expected Shortfall of a heavy tailed distribution

Assume that you have a portfolio for which you have estimated a parametric model to the underlying instruments, but the distribution of the portfolio as a whole is too complicated to compute ...