In this survey we shall focus on the following issues related to jump-diffusion models for
asset pricing in financial engineering.(1) The controversy over tailweight of distributions.(2) …

Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon
Professional Master's program in Computational Finance. The content of this book has been …

Brownian motion and normal distribution have been widely used in the Black–Scholes
option-pricing framework to model the return of assets. However, two puzzles emerge from …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This Paper uses intraday data from the interdealer government bond market to investigate
the effects of scheduled macroeconomic announcements on prices, trading volume, and bid …

In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

This paper extends the class of stochastic volatility diffusions for asset returns to encompass
Poisson jumps of time‐varying intensity. We find that any reasonably descriptive continuous …

Analytical tractability is one of the challenges faced by many alternative models that try to
generalize the Black-Scholes option pricing model to incorporate more empirical features …

The last decades have seen the development of a profusion of theoretical models of the term
structure of interest rates. The aim of this survey is to provide a comprehensive review of …

This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asset
processes with Poisson jumps. We show that this extension yields important model …