In the execution cost problem, an investor wants to minimize the total expected cost and risk in the execution of a portfolio of risky assets to achieve desired positions. A major source of the execution cost comes from price impacts of both the investor’s own trades and other concurrent institutional trades. Indeed price impact of large trades have been considered as one of the main reasons fo...

We derive closed formulas for the prices of European options andtheir sensitivities when the underlying asset follows a double-exponentialjump diffusion model, as considered by S. Kou in 2002. This author hasderived the option price by making use of double series where each termrequires the computation of a sequence of special functions, such thatthe implementation remains difficult for a large...

Calculations of noise-assisted jump rates and diffusion coefficients for diffusion of atoms adsorbed on a metal surface are presented and discussed, in the whole range of the damping strength, and with a direct numerical integration of the Langevin equation, by two different procedures: a mean first passage time calculation and by counting jumps with a given energy criterion. The results are co...

This article contains datasets related to the research article titled a novel jump diffusion model based on SGT distribution and its applications ("A novel jump diffusion model based on SGT distribution and its applications" (W.J. Xu, G.F. Liu, H.Y. Li, 2016) [1]). The datasets contain continuous composite daily percentage return values which are computed from the daily closing prices. Firstly,...

Recent development in ruin theory has seen growing popularity of jump diffusion processes in modeling an insurer’s assets and liabilities. Despite the variations of technique, the analysis of ruin-related quantities mostly relies on solutions to certain differential equations. In this paper, we propose in the context of Lévy-type jump diffusion risk models a solution method to a general class o...

This paper treats jump-diffusion processes in continuous time, with emphasis on jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights or reciprocal variances are chosen by the theory ...

This paper treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights or reciprocal variances are chosen as by the ...

We propose a general framework for studying statistics of jump-diffusion systems driven by both Brownian noise (diffusion) and a jump process with state-dependent intensity. Of particular natural interest in many physical systems are the jump locations: the system evaluated at the jump times. As an example, this could be the voltage at which a neuron fires, or the so-called ‘threshold voltage’....

The diffusion of a walk in the presence of traps is investigated. Different diffusion regimes are obtained considering the magnitude of the fluctuations in waiting times and jump distances. A constant velocity during the jump motion is assumed to avoid the divergence of the mean squared displacement. Using the limit theorems of the theory of Lévy stable distributions we have provided a characte...