In this paper we explore lattice-based position-jump models of diffusion, and the implications of introducing non-local jumping; particles can jump to a range of nearby boxes rather than only to their nearest neighbours. We begin by deriving conditions for equivalence with traditional local jumping models in the continuum limit. We then generalize a previously postulated implementation of the R...

Abstract This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jump-amplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlim...

In this paper we distinguish between operational risks depending on whether the operational risk naturally arises in the context of model risk. As the pricing model exposes itself to operational errors whenever it updates and improves its investment model and other related parameters. In this case, it is no longer optimal to implement the best model. Generally, an option is exercised in a jump-...