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Jump diffusions processes with Mathematica

Posted 11 years ago

Jump diffusions play important part in the theory of random processes where the underlying variable is affected by additional source of randomness. Jumps have been added to the repository of tools and methods in quantitative finance to help explaining spikes and shocks to the data in equity, credit or commodity markets. We explore this subject with the help of Mathematica 10 which provides excellent toolkit to handle jump diffusions in arbitrary setting. Jumps impact on the diffusion process

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POSTED BY: Igor Hlivka
3 Replies

Thanks, Igor.

This is a very detailed and impressive application of TransformedProcess.

POSTED BY: Devendra Kapadia

Much appreciated, Devendra. I will add some more stuff in the future on this concept. Kind regards Igor

POSTED BY: Igor Hlivka

Igor

Is it possible to get the notebook behind this and the other PDF files?

Thank you Michael

POSTED BY: Michael Kelly
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