News might trigger jump arrivals in financial time series. The "bad" and "good" news seems to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable est…
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48 results for “jumps model”
Neural Jumps for Option Pricingq-fin.GN
Neural jump model improves option pricing accuracy.
problem Jump risk in option pricing.
method Neural jump stochastic differential equation model with Gumbel-Softmax gradient learning.
result Neural jump components significantly improve option pricing accuracy.
The paper models VIX with jumps and stochastic volatility using VVIX as a proxy.
problem Capturing the dynamics of VIX with jumps and stochastic volatility.
method Double-jump stochastic volatility model with MCMC estimation.
result The jump in VIX and volatility factor are statistically significant.
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activitymath.PR
The article derives small-time expansions for jump-diffusion models with infinite jump activity.
problem Analyzing state-dependent jump-diffusion models with infinite jump activity.
method Derives a second-order expansion for tail probabilities and option prices.
result Obtains a second-order expansion for out-of-the-money European call option prices.
Develops a new model for pricing without arbitrage opportunities.
problem Arbitrage opportunities in standard jump-diffusion models.
method Introduces a multi-type jump-diffusion model with diffusion-dependent jumps.
result Derives no-arbitrage condition linking drift to model parameters.
Pricing Cryptocurrency Optionsq-fin.ST
Study proposes pricing mechanism for cryptocurrency options.
problem High speculation, volatility, and discontinuity in cryptocurrency markets.
method Proposes a pricing mechanism based on SVCJ model with co-jumps.
result Shows significant contemporaneous anti-correlation between jumps in price and volatility.
The paper models financial data with multivariate jump processes.
problem Capturing the dynamics of financial data with jumps.
method Defined multivariate point processes driven by stochastic jumps, providing stability conditions.
result Nonlinear models fit financial data best, showing jumps cluster during crises.
Simplifies pricing options in jump-diffusion models using gauge transformations.
problem Pricing European options in affine jump-diffusion models.
method Gauge transformation in the dual space to reduce to diffusion model pricing.
result A general procedure for calculating and applications in pricing and estimation.
Develops a fast and precise method to evaluate likelihood of jump-diffusion models.
problem Evaluating likelihood functions of models with stochastic volatility and jumps.
method Deterministic nonlinear filtering algorithm based on Kitagawa's method.
result Deterministic filtering is faster and more precise than particle filter.
Model predicts jump risk premia influencing cryptocurrency futures and option performance.
problem Capturing asymmetric and time-varying skewness in cryptocurrency returns.
method Bivariate Hawkes process with positive and negative jump premia.
result Inferred jump risk premia predict futures cost of carry and option performance.
Bayesian model predicts stock jumps from daily returns data.
problem Disentangling volatility and jumps in daily stock returns.
method Bayesian framework for stochastic volatility with Poisson jumps, extended to large panels using dynamic factor models.
result Joint modelling of jumps improves predictive ability of stochastic volatility models.
Study short maturity Asian options in jump-diffusion models with local volatility.
problem Analyzing Asian options pricing in models with jumps and local volatility.
method Asymptotic analysis for short maturity, considering fixed and floating strike options.
result Explicit results for Asian option prices in several models, including Merton, double-exponential, and Variance Gamma models.
A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Predictionq-fin.ST
Modified model predicts stock price jumps using Twitter sentiment.
problem Predicting stock price jumps based on market sentiment.
method Modified Levy jump-diffusion model with memory from Twitter sentiment, optimized with UKF.
result Algorithm provides good performance in identifying asset return trends.
Paper uses Gibbs sampler with jump diffusion for European option pricing.
problem Estimating market parameters for jump diffusion models in option pricing.
method Gibbs sampler applied to jump diffusion model for estimating drift, volatility, jump intensity, and occurrence.
result Demonstrates impact of jump effects on European call option and annuity pricing.
Study on stochastic volatility models with external shocks triggering jump cascades.
problem Analyzing the impact of external shocks on jump dynamics in stochastic volatility models.
method Establishing scaling limits for a class of stochastic volatility models with self-exciting jump dynamics.
result External shocks can trigger endogenous jump cascades in asset returns and volatility.
Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bondsq-fin.MF
The article uses jump-telegraph models to price zero coupon bonds and adjust convexity.
problem Pricing zero coupon bonds and adjusting for convexity in a short rate model.
method Markov-modulated model with jumps, jump-telegraph process, expectation hypothesis.
result Closed formulas for term structure and forward rates are derived.
Study on short-term behavior of ATM-IV for jump-diffusion model.
problem Analyzing the short-time behavior of ATM-IV for a specific stochastic volatility model.
method Used Malliavin Calculus techniques to derive expressions for ATM-IV level and skew.
result Short-time behavior of ATM-IV level is consistent for all pure-jump Lévy processes.
Extends nonlinear filtering to predictable jump times.
problem Filtering with jumps in both signal and observation, especially when jump times are known.
method Derive Kushner-Stratonovich and Zakai equations for predictable discontinuities.
result Extends classical nonlinear filtering results to a setting with predictable discontinuities.
Investigates consistency of FX rate dynamics under inversion.
problem Consistency of jump-diffusion dynamics for FX rates under inversion.
method Calibrated Heston and SABR models, analyzed jumps in domestic and foreign measures.
result Determines conditions for consistency in FX rate dynamics under inversion.
Investors mispricing volatility and jump sensitivity in Delta hedging models still super-replicate the true claim.
problem Investors misestimate volatility and jump sensitivity in Delta hedging models.
method Analyzes the robustness of Delta hedging in jump-diffusion models, proving stochastic flow properties and convexity of value functions.
result An erroneously computed Delta strategy super-replicates the true claim in expectation under a wide class of models.
A machine learning method for short-maturity options with jumps and stochastic volatility.
problem Short-maturity options with jumps and stochastic volatility.
method Differential machine learning method combining supervision and PIDE-residual penalty.
result Improves jump-term approximation and reduces Greeks errors compared to baselines.
We extend Heston model with jumps to analyze volatility and implied volatility.
problem Analyzing implied volatility and volatility clustering in financial markets.
method Introducing an affine extension of the Heston model with -stable jumps.
result Examined jump clustering phenomenon and provided a jump cluster decomposition.
This paper solves the inversion problem for jump processes using Markovian projections.
problem Calibrating jump-diffusion models with both local and stochastic features.
method Inverting Markovian projections for pure jump processes.
result Constructs calibrated local stochastic intensity (LSI) models for credit risk applications.
Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modelingq-fin.RM
Paper introduces a new volatility estimator for jump-diffusion models.
problem Disentangling integrated variance from total process quadratic variation.
method Order statistics approach to estimate time-varying volatility and jumps.
result Empirical tests show improved Value at Risk forecasting.
Paper extends Kalman-EM algorithm to handle jumps in high-frequency data.
problem Estimating covariance matrix from high-frequency data with jumps.
method Sparse Kalman filtering approaches to handle jumps in log-normal prices.
result Improved covariance estimation with Gibbs sampling and spike and slab models.
Optimal wealth strategy derived for jump-diffusion models with liabilities.
problem Maximizing utility in jump-diffusion models with random liabilities.
method Forward Backward SDEs system for optimal strategy.
result Explicit results for pure jump model and exponential utilities.
We investigate the extension of the multilevel Monte Carlo path simulation method to jump-diffusion SDEs. We consider models with finite rate activity, using a jump-adapted discretisation in which the jump times are computed and added to the standard uniform dis- cretisation times. The key component in multilevel analy…
Proposes MLEs for MMJDM with EM-algorithm.
problem Estimating stock prices with varying drift and volatility.
method EM-algorithm for MLEs of MMJDM.
result Validated with simulated data and fitted to Amazon and Netflix stock prices.
In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection and fitting, and in volatility estimation. In this paper, we give a novel estimat…
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 …
Modeling cryptocurrency volatility and jumps with SVCJ model.
problem Understanding the dynamics and volatility of cryptocurrency markets.
method Stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates.
result Cryptocurrency volatility stabilizes during bullish periods and increases during bearish periods.
Approximate hedging with proportional transaction costs in stochastic volatility models with jumpsq-fin.MF
Study approximates hedging options with jumps and stochastic volatility under transaction costs.
problem Option replication with proportional transaction costs in models with jumps and stochastic volatility.
method Applying Leland adjusting volatility principle and characterizing asymptotic hedging error.
result Jump risk can be approximately eliminated and results from continuous models are recovered.
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Lévy class of asset price models with jumps. We introduce a new renormalisation of the strike variable with the property that the implied volatility converges to a non-constant limiting shape, which is a function of …
Optimal method detects jumps in jump-diffusion processes.
problem Detecting jumps in jump-diffusion processes with improved finite-sample performance.
method Iterative threshold-kernel method to optimally select threshold parameter.
result Approximate optimal threshold depends on spot volatility, jump intensity, and jump density.
Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS marketq-fin.PR
Paper models transition risk using jump-diffusion model to price credit swaps.
problem Capturing transition risk in financial markets.
method Calibrated jump-diffusion model to CDS term structure, using quantile regression.
result Jump-diffusion model captures transition risk, jumps represent green policies.
Method detects jumps in high-frequency order prices using local minima.
problem Detecting jumps in high-frequency order prices with noisy data.
method Developed methods to estimate, locate and test for jumps using local minima of best ask quotes.
result Consistently estimated jump sizes and times, established asymptotic properties of tests, and demonstrated faster convergence rates.
Defines a new integral for price paths with jumps.
problem Integrating with model-free price paths that include jumps.
method Defines integral as a limit of simple integrals for adapted, càglàd processes and càdlàg price paths with jumps.
result Defines a new integral for price paths with jumps.
Projects Markovian processes from Itô semimartingales with jumps.
problem Modeling Itô semimartingales with jumps using Markovian projections.
method Construct Markovian projections for Itô semimartingales with jumps using non-local FPKEs.
result Markovian projections match the marginal laws of the original process.
Develops stability conditions for estimating affine jump-diffusions.
problem Ergodicity and consistency of parameter estimation for affine jump-diffusions.
method Establishes stochastic stability conditions and ergodicity under specific conditions.
result Proves strong laws of large numbers and functional central limit theorems for additive functionals.
Structural-Jump-LSTM speeds up reading by skipping and jumping text.
problem Sequential inference in RNNs makes reading time linearly dependent on input length.
method Introduces a novel LSTM model with agents for skipping and jumping text.
result Structural-Jump-LSTM achieves best FLOP reduction and maintains or improves accuracy.
Paper develops semi-analytic method for American options in time-dependent jump-diffusion models.
problem Pricing American options in models with time-dependent and exponential jumps.
method Generalizes existing methods for barrier and American options to handle arbitrary time dependencies and solves the problem through algebraic and Fredholm-Volterra equations.
result Presents a semi-analytic solution for American options in time-dependent jump-diffusion models with exponential jumps.
Efficiently reconstructs jump-diffusion processes from data using neural networks.
problem Reconstructing jump-diffusion processes from data.
method Temporally decoupled squared Wasserstein distance method using parameterized neural networks.
result Enhanced reconstruction of jump-diffusion processes from data.
Polynomial Jump-Diffusion Modelsq-fin.MF
Develops a new mathematical framework for financial asset pricing.
problem Financial asset pricing models with excess log returns.
method Polynomial jump-diffusions in a semimartingale context, moment expansions.
result Shows preservation of polynomial property under transformations and Lévy time change.
The paper introduces walks with jumps for modeling neuron activity in hyperbolic space.
problem Encoding neuron activity sequences in hyperbolic space.
method Introducing walks with jumps in hyperbolic geometry to model neuron activity.
result Endpoints of walks with jumps do not fully encode the sequence of jump times.
Formula for European option pricing under jump diffusion model.
problem Option pricing under complex stochastic processes.
method Infinite series of Black-Scholes terms for Levy-driven processes.
result Series solution converges with a radius of convergence.
Study pricing derivatives in markets with long-range dependence and jumps.
problem Deriving pricing formulas for derivatives in markets with long-range dependence and jumps.
method Developed a fractional integro-partial differential equation (PIDE) and used semigroup theory and finite-difference schemes for numerical solutions.
result Closed-form pricing formula for European options and numerical solution for general options.
Study on hedging risky assets with jumps and costs.
problem Hedging in jump-diffusion models with transaction costs.
method Conditional least square hedging strategy, explicit form for European call options.
result Explicit form of hedging strategy for European call options under transaction costs.
Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump modelsq-fin.PM
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for existence of optimal policies and find closed-form expressions for the optimal v…