Keyword

jump processes

Description: Jump processes are stochastic processes that undergo discrete, sudden changes over time, modeled in probability, statistics, and financial mathematics.

Primary topic: Stochastic processes and financial applications (54%)

Wikidata ID: wiki/Q3922411

OpenAlex ID: keywords/jump-processes

Option pricing when underlying stock returns are discontinuous

1976 · Robert C. Merton · Journal of Financial Economics · 5,961

Financial Modelling with Jump Processes

2003 · Peter Tankov · Chapman & Hall/CRC eBooks · 3,215

The valuation of options for alternative stochastic processes

1976 · John C. Cox, Stephen A. Ross · Journal of Financial Economics · 2,935

Empirical Performance of Alternative Option Pricing Models

1997 · Gurdip Bakshi, Charles Cao, et al. · The Journal of Finance · 2,708

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A survey of design methods for failure detection in dynamic systems

1976 · Alan S. Willsky · Automatica · 2,157

The Fine Structure of Asset Returns: An Empirical Investigation

2002 · Peter Carr, Helyette Geman, et al. · The Journal of Business · 1,723

The jump-risk premia implicit in options: evidence from an integrated time-series study

2002 · Jun Pan · Journal of Financial Economics · 1,657

The Variance Gamma (V.G.) Model for Share Market Returns

1990 · Dilip B. Madan, Eugene Seneta · The Journal of Business · 1,468

A survey of design methods for failure detection in dynamic systems

1977 · Microelectronics Reliability · 1,421

A Gallavotti–Cohen-Type Symmetry in the Large Deviation Functional for Stochastic Dynamics

1999 · Joel L. Lebowitz, Herbert Spohn · Journal of Statistical Physics · 1,419

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Fluid-based analysis of a network of AQM routers supporting TCP flows with an application to RED

2000 · Vishal Misra, Wei-Bo Gong, et al. · ACM SIGCOMM Computer Communication Review · 1,280

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Stochastic Methods: A Handbook for the Natural and Social Sciences

2009 · C. W. Gardiner · 1,048

The Model-Free Implied Volatility and Its Information Content

2005 · George J. Jiang, Yisong S. Tian · Review of Financial Studies · 1,011

Time-changed Lévy processes and option pricing

2003 · Peter Carr, Liuren Wu · Journal of Financial Economics · 674

Option Pricing Under a Double Exponential Jump Diffusion Model

2004 · S. G. Kou, Hui Wang · Management Science · 654

Numerical Methods for Stochastic Control Problems in Continuous Time

2001 · Harold J. Kushner, Paul Dupuis · Stochastic modelling and applied probability · 654

On Jump Processes in the Foreign Exchange and Stock Markets

1988 · Philippe Jorion · Review of Financial Studies · 625

Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms

2009 · Benjamin Yibin Zhang, Hao Zhou, et al. · Review of Financial Studies · 571

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News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns

2004 · John M. Maheu, Thomas H. McCurdy · The Journal of Finance · 561

Bond Yields and the Federal Reserve

2005 · Monika Piazzesi · Journal of Political Economy · 557

Approximation and Weak Convergence Methods for Random Processes, With Applications to Stochastic Systems Theory.

1985 · Ioannis Karatzas, Harold J. Kushner · Journal of the American Statistical Association · 554

Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

1994 · Shanjian Tang, Xunjing Li · SIAM Journal on Control and Optimization · 526

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

2010 · Eckhard Platen, Nicola Bruti-Liberati · Applications of mathematics · 465

Financial Modelling with Jump Processes

2004 · René L. Schilling · Journal of the Royal Statistical Society Series A (Statistics in Society) · 419

Dynamic Asset Allocation with Event Risk

2003 · Jun Liu, Francis A. Longstaff, et al. · The Journal of Finance · 413

Works count: 4,561

Citation count: 78,930