Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan

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Subfields: Finance

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Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “The last two terms have been used for the transition density approximation by Yu (2007).”
Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013, background): “and Mykland [7, 8], Aı̈t-Sahalia and Kimmel [5, 6], Li [45], Egorov, Li and Xu [26], Schaumburg [58], Aı̈t-Sahalia and Yu [9], Yu [72], Filipović, Mayerhofer and Schneider [31], Tang and Chen [61], Xiu [66] and Chang and Chen [22].”
Nonparametric Transition-Based Tests for Jump Diffusions (2009, unknown): “For this purpose, we rely on the new closed-form expansions developed in Aït-Sahalia (2002) and Aït-Sahalia (2008) for pure diffusions and extended to jump diffusions by Yu (2007).”
Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “Extensions for multivariate (jump-)diffusions do exist in Aı̈t-Sahalia (2008) and Yu (2007), but they follow a different route by approximating the Kolmogorov forward-, and backward partial differential equations.”