Concepedia

Jump Diffusions

Jump Diffusions is a type of stochastic process that extends standard diffusion models by incorporating random jumps, thereby allowing for discontinuous sample paths to capture abrupt changes in the underlying system dynamics.

680

Publications

47.3K

Citations

1K

Authors

593

Institutions

Publications per year

2017–2026

138

Parents

Publications

680

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations

, , +17

A YIELD‐FACTOR MODEL OF INTEREST RATES

Darrell Duffie, Rui Kan · Mathematical Finance · 1996 · 2.6K citations

, , +17

A Jump-Diffusion Model for Option Pricing

Steven Kou · Management Science · 2002 · 1.9K citations

, , +16

The Fine Structure of Asset Returns: An Empirical Investigation

Peter Carr, Hélyette Geman, Dilip B. Madan et al. · The Journal of Business · 2002 · 1.8K citations

, , +17

DifferentialEquations.jl – A Performant and Feature-Rich Ecosystem for Solving Differential Equations in Julia

Christopher Rackauckas, Qing Nie · Journal of Open Research Software · 2017 · 1.7K citations · Full text

, , +17

1–5 of 680

Authors

1K

  1. GY
    George Yin

    Wayne State University, United States

    14 publications · 523 citations

    13

    h-index

  2. SK
    Steven Kou

    Columbia University, United States

    11 publications · 3.7K citations

    11

    h-index

  3. FX
    Fubao Xi

    Beijing Institute of Technology, China

    8 publications · 330 citations

    8

    h-index

  4. EB
    Erhan Bayraktar

    University of Michigan, United States

    7 publications · 179 citations

    7

    h-index

  5. ÉG
    Éric Ghysels

    University of North Carolina at Chapel Hill, United States

    6 publications · 1.2K citations

    6

    h-index

1–5 of 1K

Institutions

593

  1. Columbia University

    New York, United States

    18 h-index

    25 publications

    6.3K citations

  2. Wayne State University

    Detroit, United States

    17 h-index

    28 publications

    809 citations

  3. Stanford University

    Stanford, United States

    12 h-index

    21 publications

    10.5K citations

  4. Centre National de la Recherche Scientifique

    Paris, France

    11 h-index

    23 publications

    630 citations

  5. University of Michigan

    Ann Arbor, United States

    10 h-index

    13 publications

    450 citations

  6. University of Oslo

    Oslo, Norway

    10 h-index

    19 publications

    1.2K citations

  7. Imperial College London

    London, United Kingdom

    10 h-index

    15 publications

    523 citations

  8. Central South University

    Changsha, China

    9 h-index

    16 publications

    277 citations

1–8 of 593

Venues

  1. SSRN Electronic Journal

    Repository · 42 publications · 1.8K citations

    20

    h-index

  2. Journal of Computational and Applied Mathematics

    26 publications · 740 citations

    16

    h-index

  3. SIAM Journal on Control and Optimization

    14 publications · 703 citations

    13

    h-index

  4. Stochastic Processes and their Applications

    16 publications · 880 citations

    13

    h-index

  5. Insurance Mathematics and Economics

    14 publications · 739 citations

    13

    h-index

1–5