Financial Modelling with Jump Processes

By Rama Cont, Peter Tankov. 2003

1,779 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/eb4ebc9433b2b4f75e81ebc4d7e4bff2f63c3fd8

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Citations in the corpus

Fractional Lévy processes with an application to long memory moving average processes (2006, methodology): “Malliavin calculus was also used by Decreusefond and Savy (2004) to construct a stochastic calculus for filtered Poisson processes.”
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (2006, neutral): “Keywords: Kalman filter, Lévy process, Long-memory, Quasi-likelihood, Realised variance, Stochastic volatility, Time-change.”
Optimal portfolio for an insider in a market driven by Lévy processes (2006, background): “gif"/> is a compensated Poisson random measure and α, β are constants, we see that model ( 2 ) may be regarded as the pure jump part of the model driven by the Levy process Λ ( t ). At the other extreme, the continuous part of ( 7 ) is the more widely studied model It has been argued (see ”
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “In some studies (eg, Cont and Tankov ( 2004 )), the Fourier transform of the probability density function of y T without the explicit use of i is called a moment-generating function.”
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009, neutral): “Details and proofs may be found in [ 5, Chapter 9 ] or [9].”
Quantitative models for operational risk: Extremes, dependence and aggregation (2006, methodology): “alternative if the process is L evy; see for instance Cont and Tankov (2004) , Kallsen and Tankov”
Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010, background): “measure (which are always exponential). Parameters ci control the total “intensity” of positive/negative jumps. The processes in β-family are similar to the generalized tempered stable processes (see [15]) which were also named KoBoL processes in [9] and [10] ν(x)=c+ e−α+x xλ+ I{x>0} +c− eα−x |x|”
Local shrinkage rules, Lévy processes and regularized regression (2010, background): “ derivatives of all orders and satisﬁes ( 1)ny(n)(t)0: Furthermore, since lim t!0 y(t) = 0, then by Bernstein’s theorem y(t) corresponds to the Laplace exponent of some subordinator T(s) (see, e.g., Cont and Tankov, 2004, Chapter 4). That is, there exists a subordinator T(s) with Levy measure´ m(dx)”
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models (2008, methodology): “The problem of calibrating jump diffusion models is related to a more general one of estimating the parameters of continuous-time jump processes from discretely sampled data (for reviews and possible solutions see Cont and Tankov, 2003, Weron, 2006).”