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Mixed Processes

  • Monique JeanblancEmail author
  • Marc Yor
  • Marc Chesney
Chapter
  • 3.7k Downloads
Part of the Springer Finance book series (FINANCE)

Abstract

In this chapter, we present stochastic calculus for mixed processes (also often called jump-diffusions), i.e., loosely speaking they are processes whose dynamics are driven by a pair of processes consisting of a Brownian motion and a compound Poisson process. We give some applications to finance.

Keywords

Poisson Process Option Price Risky Asset American Option Contingent Claim 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag London 2009

Authors and Affiliations

  1. 1.Dépt. MathématiquesUniversité d’EvryEvryFrance
  2. 2.Labo. Probabilités et Modèles AléatoiresUniversité Paris VIParisFrance
  3. 3.Inst. Schweizerisches Bankwesen (ISB)Universität ZürichZürichSwitzerland

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