A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial transformations and Lévy time change. We present a generic method for…
Derives a series expansion for Asian option pricing with polynomial jump-diffusion moments.
New method uses Hermite polynomials for American option valuation.
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments. We establish parametric conditions which guarantee existen…
We consider a Markov process , which is the solution of a stochastic differential equation driven by a Lévy process and an independent Wiener process . Under some regularity conditions, including non-degeneracy of the diffusive and jump components of the process as well as smoothness of the Lévy density of $Z…
In the setting of polynomial jump-diffusion dynamics, we provide an explicit formula for computing correlators, namely, cross-moments of the process at different time points along its path. The formula appears as a linear combination of exponentials of the generator matrix, extending the well-known moment formula for p…
Efficiently reconstructs jump-diffusion processes from data using neural networks.
The paper simplifies complex jump-diffusion markets to complete models.
RL for jump-diffusions applies to financial portfolio selection and option hedging.
In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of conditioned (jump) diffusion bridge sample paths in light of recent work developing a mathematical framework for simulating finite dimensional …
Optimal wealth strategy derived for jump-diffusion models with liabilities.
Study on hedging risky assets with jumps and costs.
Study on implied volatility of an affine jump-diffusion model.
Develops efficient methods for approximating densities of financial models with jumps.
Simplifies pricing options in jump-diffusion models using gauge transformations.
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition for convexity to be preserved in several-dimensional jump-diffusion models. This …
Formula for European option pricing under jump diffusion model.
Study short maturity Asian options in jump-diffusion models with local volatility.
Python package ajdmom simplifies moment formula derivation for jump diffusions.
The paper examines conditions for stochastic invariance of cones in SPDEs with jumps.
This research improves option pricing models using Heston, GARCH, and jump diffusion models.
Paper explores two methods for optimal portfolio selection in financial markets.
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American options respectively are discretized using Crank-Nicolson Leap-Frog scheme. In pro…
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stoc…
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and investment constraints. In this case, the HJB equation is a partial integro-diffe…
In this paper, we are presenting a method for estimation of market parameters modeled by jump diffusion process. The method proposed is based on Gibbs sampler, while the market parameters are the drift, the volatility, the jump intensity and its rate of occurrence. Demonstration on how to use these parameters to estima…
Paper develops models for better HFT and algorithmic trading.
Generative model handles varying data dimensions using jump diffusion processes.
New deep learning method for option pricing in jump-diffusion models.
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE) that usually does not allow an analytical solution while numerical solution bri…
Study on short-term behavior of ATM-IV for jump-diffusion model.
Paper solves MV portfolio selection in jump-diffusion models with no-shorting constraint.
Proposes a new jump-diffusion model for option pricing.
This paper uses Malliavin calculus to price and compute delta of financial derivatives in jump-diffusion models.
The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular, we derive an exact formula for the semivariance when the volatility is kept const…
Paper develops semi-analytic method for American options in time-dependent jump-diffusion models.
Study on hedging CVA in jump-diffusion setting using Monte Carlo simulations.
Paper models transition risk using jump-diffusion model to price credit swaps.
Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features …
In this article, a three-time levels compact scheme is proposed to solve the partial integro-differential equation governing the option prices under jump-diffusion models. In the proposed compact scheme, the second derivative approximation of unknowns is approximated by the value of unknowns and their first derivative …
Develops a new model for pricing without arbitrage opportunities.
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes we firstly outline the Fourier transform method both in log-price and log-strik…
The paper models stock returns using -Gaussians and negative binomials.
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require ergodicity in order establish consistency and asymptotic normality of the associat…
This paper develops models for cryptocurrency trading and evaluates Bitcoin options.
Proposes MLEs for MMJDM with EM-algorithm.
In mathematical Finance calculating the Greeks by Malliavin weights has proved to be a numerically satisfactory procedure for finite-dimensional Itô-diffusions. The existence of Malliavin weights relies on absolute continuity of laws of the projected diffusion process and a sufficiently regular density. In this article…