Stochastic Volatility Models with Jumps

  • Norbert Hilber
  • Oleg Reichmann
  • Christoph Schwab
  • Christoph Winter
Part of the Springer Finance book series (FINANCE)


In Chap.  9, we considered pure diffusion stochastic volatility models. We extend these models by adding jumps and derive numerical solutions for different models such as Bates or Barndorff-Nielsen and Shephard.


Bilinear Form Stochastic Volatility Model Price Equation Equivalent Martingale Measure Poisson Random Measure 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Norbert Hilber
    • 1
  • Oleg Reichmann
    • 2
  • Christoph Schwab
    • 2
  • Christoph Winter
    • 3
  1. 1.Dept. for Banking, Finance, Insurance, School of Management and LawZurich University of Applied SciencesWinterthurSwitzerland
  2. 2.Seminar for Applied MathematicsSwiss Federal Institute of Technology (ETH)ZurichSwitzerland
  3. 3.Allianz Deutschland AGMunichGermany

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