JUMP-DIFFUSION

作品数：30被引量：41H指数：4
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相关领域：理学更多>>
相关作者：赵平孙玉东刘维泉蒋正权张能福更多>>
相关机构：西南交通大学浙江大学五邑大学河北工业大学更多>>
相关期刊：《Open Journal of Applied Sciences》《Frontiers of Mathematics in China》《Journal of Management Science and Engineering》《Science China Mathematics》更多>>
相关基金：国家自然科学基金国家重点基础研究发展计划河北省自然科学基金国家社会科学基金更多>>
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THE TRUNCATED EM METHOD FOR JUMP-DIFFUSION SDDES WITH SUPER-LINEARLY GROWING DIFFUSION AND JUMP COEFFICIENTS
《Journal of Computational Mathematics》2024年第1期178-216,共39页Shounian Deng Chen Fei Weiyin Fei Xuerong Mao 
the National Natural Science Foundation of China(62273003,12271003);the Open Project of Anhui Province Center for International Research of Intelligent Control of High-end Equipment(IRICHE-01);the Natural Science Foundation of Universities in Anhui Province(2022AH050993);the Startup Foundation for Introduction Talent of AHPU(2021YQQ058);the Royal Society(WM160014,Royal Society Wolfson Research Merit Award);the Royal Society and the Newton Fund(NA160317,Royal Society-Newton Advanced Fellowship);the Royal Society of Edinburgh(RSE1832)for their financial support.
This work is concerned with the convergence and stability of the truncated EulerMaruyama(EM)method for super-linear stochastic differential delay equations(SDDEs)with time-variable delay and Poisson jumps.By construct...
关键词：SDDEs Truncated EM method Time-variable delay Poisson jumps 
STRONG CONVERGENCE OF JUMP-ADAPTED IMPLICIT MILSTEIN METHOD FOR A CLASS OF NONLINEAR JUMP-DIFFUSION PROBLEMS
《Journal of Computational Mathematics》2024年第1期248-270,共23页Xu Yang Weidong Zhao 
supported by the National Natural Science Foundation of China(Grant Nos.11901565,12071261,11831010,11871068);by the Science Challenge Project(No.TZ2018001);by National Key R&D Plan of China(Grant No.2018YFA0703900).
In this paper,we study the strong convergence of a jump-adapted implicit Milstein method for a class of jump-diffusion stochastic differential equations with non-globally Lipschitz drift coefficients.Compared with the...
关键词：JUMP-DIFFUSION Jump-adapted implicit Milstein method Poisson jumps Strong convergence rate Non-Lipschitz coefficients 
Pricing vulnerable European options with dynamic correlation between market risk and credit risk被引量：2
《Journal of Management Science and Engineering》2020年第2期125-145,共21页Huawei Niu Yu Xing Yonggan Zhao 
The work of Huawei Niu in this paper was supported by National Natural Science Foundation of China(71871120,71501099);Key Project of Philosophy and Social Science Research in Universities in Jiangsu Province(2018SJZDI101);Six Talent Peaks Project in Jiangsu Province(SZCY-012);and Qing Lan Project in Jiangsu Province;The work of Yu Xing was supported by Natural Science Foundation for Youths of Jiangsu of China(BK20171072).
In this paper,we study the valuation of vulnerable European options incorporating the reduced-form approach,which models the credit default of the counterparty.We provide an analytical pricing model in which the compo...
关键词：Vulnerable options Reduced-form model Credit risk Fourier transform Affine jump-diffusion 
PMCMC for Term Structure of Interest Rates under Markov Regime Switching and Jumps
《Journal of Systems Science and Information》2020年第2期159-169,共11页Xiangdong LIU Xianglong LI Shaozhi ZHENG Hangyong QIAN 
Supported by National Natural Science Foundation of China(71471075);Fundamental Research Funds for the Central University(19JNLH09);Humanities and Social Sciences Foundation of Ministry of Education,China(14YJAZH052).
A parameter estimation method,called PMCMC in this paper,is proposed to estimate a continuous-time model of the term structure of interests under Markov regime switching and jumps.There is a closed form solution to te...
关键词：PMCMC TERM structure of INTEREST rates STATE-SPACE models REGIME switching JUMP-DIFFUSION 
The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance被引量：4
《Journal of Systems Science & Complexity》2020年第1期26-42,共17页LI Cailing LIU Zaiming WU Jinbiao HUANG Xiang 
supported by the National Science Foundation of China under Grant No.11671404;the Fundamental Research Funds for the Central Universities of Central South University under Grant No.10553320171635.
This paper establishes a stochastic maximum principle for a stochastic control of mean-field model which is governed by a Lévy process involving continuous and impulse control.The authors also show the existence and ...
关键词：IMPULSE control JUMP-DIFFUSION Markowitz’s MEAN-VARIANCE model stochastic MAXIMUM PRINCIPLE 
A Class of Jump-Diffusion Stochastic Differential System Under Markovian Switching and Analytical Properties of Solutions
《Journal of Systems Science and Information》2020年第1期17-32,共16页Xiangdong LIU Zeyu MI Huida CHEN 
Supported by the National Natural Science Foundation of China(71471075);Fundamental Research Funds for the Central University(19JNLH09);Humanities and Social Sciences Foundation of Ministry of Education,China(14YJAZH052).
Our article discusses a class of Jump-diffusion stochastic differential system under Markovian switching(JD-SDS-MS).This model is generated by introducing Poisson process and Markovian switching based on a normal stoc...
关键词：stachastic DIFFERENTIAL system Markovian SWITCHING JUMP-DIFFUSION ANALYTICAL properties NUMERICAL solutions 
A New Binomial Tree Method for European Options under the Jump Diffusion Model被引量：1
《Journal of Applied Mathematics and Physics》2019年第12期3012-3021,共10页Lingkang Zhu Xiu Kan Huisheng Shu Zifeng Wang 
In this paper, the binomial tree method is introduced to price the European option under a class of jump-diffusion model. The purpose of the addressed problem is to find the parameters of the binomial tree and design ...
关键词：OPTION PRICING BINOMIAL TREE JUMP-DIFFUSION Process MOMENT Estimation 
Bias Free Threshold Estimation for Jump Intensity Function
《Applied Mathematics(A Journal of Chinese Universities)》2019年第3期309-325,共17页LIN Yi-wei LI Zhen-wei SONG Yu-ping 
supported by the National Natural Science Foundation of China(No.11701331);Shandong Provincial Natural Science Foundation(No.ZR2017QA007);Young Scholars Program of Shandong University;supported by Ministry of Education,Humanities and Social Sciences project(No.18YJCZH153);National Statistical Science Research Project(No.2018LZ05);Youth Academic Backbone Cultivation Project of Shanghai Normal University(No.310-AC7031-19-003021);General Research Fund of Shanghai Normal University(SK201720);Key Subject of Quantitative Economics(No.310-AC7031-19-004221);Academic Innovation Team(No.310-AC7031-19-004228)of Shanghai Normal University
In this paper,combining the threshold technique,we reconstruct Nadaraya-Watson estimation using Gamma asymmetric kernels for the unknown jump intensity function of a diffusion process with finite activity jumps.Under ...
关键词：JUMP-DIFFUSION model NONPARAMETRIC estimation GAMMA ASYMMETRIC KERNEL 
Pricing Vulnerable Options with Correlated Credit Risk Under Jump-diffusion Processes When Corporate Liabilities Are Random被引量：1
《Acta Mathematicae Applicatae Sinica》2019年第2期305-318,共14页Qing ZHOU Jiao-jiao YANG Wei-xing WU 
supported by the National Natural Science Foundation of China(No.11471051 and No.11871010);supported by the National Social Science Foundation of China(No.16ZDA033)
In this paper, we consider an improved model of pricing vulnerable options with credit risk. We assume that the vulnerable European options not only face default risk, but also face the rare shocks of the underlying a...
关键词：VULNERABLE option DEFAULT credit risk PRICING JUMP-DIFFUSION 
A revised jump-diffusion and rotation-diffusion model
《Chinese Physics B》2019年第5期216-221,共6页Hua Li Yu-Hang Chen Bin-Ze Tang 
Quasi-elastic neutron scattering(QENS) has many applications that are directly related to the development of highperformance functional materials and biological macromolecules, especially those containing some water. ...
关键词：revised JUMP-DIFFUSION and rotation-diffusion model (rJRM) data analysis of quasi-elastic neutron scattering (QENS) spectra dynamics of water magnesium-silicate-hydrate (MSH) samples 
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