Jump Diffusions Publications

Publications in Jump Diffusions

Explore the most influential research papers and scholarly works that have shaped Jump Diffusions. Use the concept filter below to focus on a specific sub-area of research.

Jump Diffusions

1.4K

Publications

91.3K

Citations

Showing yearly statistics from 2000-2026.

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	Year	Citations
A New Vertical Diffusion Package with an Explicit Treatment of Entrainment Processes Song-You Hong, Yign Noh, Jimy Dudhia Monthly Weather Review EngineeringWeather ForecastingClimate ModelingBoundary LayerEarth Science	2006	7.2K
Diffusion by Continuous Movements Geoffrey Ingram Taylor Proceedings of the London Mathematical Society Diffusion ProcessContinuous MovementsDiffusion-based ModelingAnomalous DiffusionJump Diffusions	1922	2.9K
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options David S. Bates Review of Financial Studies Volatility ModelingEngineeringForeign Exchange OptionFinancial MathematicsAsset Pricing	1996	2.3K
Power and Bipower Variation with Stochastic Volatility and Jumps Ole E. Barndorff–Nielsen Journal of Financial Econometrics Volatility ModelingMultivariate Stochastic VolatilityEngineeringAsset PricingUncertainty Quantification	2004	2.1K
A Jump-Diffusion Model for Option Pricing Steven Kou Management Science Volatility ModelingEngineeringFinancial MathematicsAsset PricingJump Diffusions	2002	1.9K
The Fine Structure of Asset Returns: An Empirical Investigation Peter Carr, Hélyette Geman, Dilip B. Madan, The Journal of Business Empirical FinanceEconomicsVolatility ModelingFinancial EconomicsAsset Pricing	2002	1.8K
DifferentialEquations.jl – A Performant and Feature-Rich Ecosystem for Solving Differential Equations in Julia Christopher Rackauckas, Qing Nie Journal of Open Research Software Numerical AnalysisNumerical Method For Partial Differential EquationNumerical ComputationEngineeringA Performant	2017	1.6K
The Impact of Jumps in Volatility and Returns Bjørn Eraker, Michael Johannes, Nicholas Polson The Journal of Finance Spot VolatilityVolatility ModelingEngineeringJump TimesTime Series Econometrics	2003	1.6K
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices Bjørn Eraker The Journal of Finance Empirical FinanceVolatility ModelingEngineeringOption PricesVolatility Jump	2004	1.2K
An Empirical Investigation of Continuous‐Time Equity Return Models Torben G. Andersen, Luca Benzoni, Jesper Lund The Journal of Finance Empirical FinanceVolatility InnovationsVolatility ModelingEngineeringFinancial Mathematics	2002	931
Solutions of ordinary differential equations as limits of pure jump markov processes Thomas G. Kurtz Journal of Applied Probability Stochastic Hybrid SystemDeterministic SystemDeterministic Dynamical SystemEngineeringDiscrete Dynamical System	1970	927
Stochastic Volatility for Lévy Processes Peter Carr, Hélyette Geman, Dilip B. Madan, Mathematical Finance Volatility ModelingEngineeringStochastic AnalysisStochastic PhenomenonFast Fourier Transform	2003	900

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