LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING

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Subfields: Finance

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Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2009, unknown): “Radon’s lemma (see, e.g., Cheng and Scaillet (2007)) says that one solution is of the form: C (u− t) = y (u− t) /x (u− t) , where y and x satisfy a system of two linear ODEs with constant coefficients.”
Affine Point Processes and Portfolio Credit Risk (2010, unknown): “Another potential extension is the generalization of the driving risk factor process X to a more general Markov process, such as the general affine process analyzed in [18] or the linear-quadratic jump diffusion process analyzed in [10].”
COMPLEX LOGARITHMS IN HESTON‐LIKE MODELS (2010, methodology): “Using the classification of Gaspar [2004] and Cheng and Scaillet [2007] one can conclude that the Schöbel-Zhu model is a linear-quadratic model in ln S and σ, and by the latter paper therefore equivalent to an affine model once we add the coordinate v(t) = σ(2)(t): ( ) ) t ( dW ) t ( 2 dt ) t ( 2 ) ”
Asset Pricing with Second-Order Esscher Transforms (2010, methodology): “…models, for instance, it could be relevant to study the relationships with the class of affine-quadratic yield curve models proposed by Chen, Filipovic and Poor (2004), Cheng and Scaillet (2007), Gourieroux, Jasiak and Sufana (2009), Gourieroux and Sufana (2003) and Leippold and Wu (2002, 2003).”