- A new approach to quantitative propagation of chaos for drift, diffusion and jump processes
2011/01/31 by Stéphane Mischler, Clément Mouhot, Bernt Wennberg · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Applied mathematics #Boltzmann constant #Boltzmann equation #Collision #Computer science #Consistency (knowledge bases) #Diffusion #Diffusion process #Gas Dynamics and Kinetic Theory #Jump #Jump diffusion #Jump process #Limit (mathematics) #Mathematical analysis #Mathematical finance #Mathematics #Nonlinear system #Physics #Stability (learning theory) #Statistical physics #Stochastic processes and financial applications #Thermodynamics #math.AP #math.PR
- Empirical Characteristic Function Estimation and Its Applications
2004/08/23 by Jun Yu · 1 citation
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Monetary Policy and Economic Impact #Financial Risk and Volatility Modeling #Function (biology) #Jump #Monte Carlo method #Likelihood function #Cluster analysis #Jump diffusion #Computer science #Characteristic function (probability theory) #Expression (computer science) #Component (thermodynamics) #Mathematics #Econometrics #Applied mathematics #Mathematical optimization #Estimation theory #Algorithm #Statistics #Probability density function
- The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
1991/07/01 by David S. Bates · 2 citations
Economics, Econometrics and Finance · Engineering · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Crash #Futures contract #Jump diffusion #Jump #Stock market crash #Economics #Financial economics #Actuarial science #Stock (firearms) #Futures market #Econometrics #Stock market #Computer science #Engineering #Geography #Physics