Questions tagged [jump]

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Calibration of Merton's jump diffusion model

Setting In my financial engineering project I'm working on a new calibration formalism for jump-diffusion models and in particular Merton's jump diffusion model. A jump diffusion process $\{X(t), t \...
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Discrete-time Jump-Diffusion Model

I am wondering if anybody could point me to any literature that talks about a discrete time version of the jump-diffusion model, I am aware that there is a paper by Amin (1993) that shows a discrete ...
3
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Marked poisson process vs compounded

I am a bit fuzzy about difference between compounded poisson process defined as $$\sum_{i=1}^{N_t} D_i $$ where $N_t$ is poisson process and $ D_i $ are iid random variables and marked poisson ...
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Jim Gatheral's claim on the decay of the effect of jumps on the final return distribution

I got a full answer for my question on Jim Gatheral's book The Volatility Surface. I am going to try my luck again on another question on the same book. In Section The Decay of Skew Due to Jumps on ...
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Bates Model Jump Percentage Parameters

I am trying to calculate the jump parameters for the Bates volatility jumps, specifically, the mean of the jump percentages, $\mu_j$. For the value of $J$, I am using jumps $|\frac{s_{i}-s_{i-1}}{s_{i-...
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Computing squared returns given differential equation for prices

I am looking for general advice on how to start tackling the problem below. My background in math is fairly bad when it comes to stochastic differential equations, but if you have any recommendations ...