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Bond and option pricing for interest rate model with clustering effects Journal article
QUANTITATIVE FINANCE, 2018,Volume: 18,Issue: 6,Page: 969-981
Authors:  Zhang, Xin;  Xiong, Jie;  Shen, Yang
Favorite |  | TC[WOS]:3 TC[Scopus]:3 | Submit date:2018/10/30
Interest rate modelling  Marked point process  Hawkes processes  Bond pricing  Bond option  
Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes Journal article
STATISTICS & PROBABILITY LETTERS, 2017,Volume: 123,Page: 8-16
Authors:  Djouadi, Seddik M.;  Maroulas, Vasileios;  Pan, Xiaoyang;  Xiong, Jie
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2018/10/30
Consistency  Asymptotic normality  Jump diffusions  Least-squares estimator  Poisson processes  Partially observed system  
Testing for pure-jump processes for high-frequency data Journal article
Annals of Statistics, 2015,Volume: 43,Issue: 2,Page: 847
Authors:  Kong X.-B.;  Liu Z.;  Jing B.-Y.
Favorite |  | TC[WOS]:27 TC[Scopus]:35 | Submit date:2018/10/30
Integrated volatility  Itô semimartingale  Pure-jump process  Realized characteristic function  
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Journal of Computational Finance, 2014,Volume: 17,Issue: 3,Page: 3-30
Authors:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2019/02/11
Jump Diffusion-processes  Stochastic Volatility  American Options  Returns  Systems  Assets  
Evaluating the hedging error in price processes with jumps present Journal article
Statistics and its Interface, 2013,Volume: 6,Issue: 4,Page: 413-425
Authors:  Jing B.Y.;  Kong X.B.;  Liu Z.;  Zhang B.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/02/14
Hedging Strategy  Jump Diffusion  Quadratic Variation  Realized Bipower Variation  Thresholdvariation  Variation Of Time  Volatility  
Evaluating the hedging error in price processes with jumps present Journal article
Statistics and its Interface, 2013,Volume: 6,Issue: 4,Page: 413-425
Authors:  Jing,Bing Yi;  Kong,Xin Bing;  Liu,Zhi;  Zhang,Bo
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/03/11
Hedging strategy  Jump diffusion  Quadratic variation  Realized bipower variation  Thresholdvariation  Variation of time  Volatility  
Modeling high-frequency financial data by pure jump processes Journal article
Annals of Statistics, 2012,Volume: 40,Issue: 2,Page: 759-784
Authors:  Jing B.-Y.;  Kong X.-B.;  Liu Z.
Favorite |  | TC[WOS]:40 TC[Scopus]:44 | Submit date:2019/02/14
Diffusion  High-frequency Data  Hypothesis Testing  Pure Jump Process  Semi-martingales