Jump-Diffusion Volatility Models is a class of stochastic volatility models that extends continuous diffusion processes by incorporating discrete jumps to capture sudden, large movements in asset prices, thereby allowing for more realistic modeling of financial market volatility.
192
Publications
10.5K
Citations
391
Authors
305
Institutions
Publications per year
2017–2026
51
Parents
Publications
192
1–5 of 192
Authors
391
- GT
5
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- CP
3
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- DD
3
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- ES
3
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3
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1–5 of 391
Institutions
305
National Bureau of Economic Research
Cambridge, United States
7 h-index
7 publications
151 citations
Duke University
Durham, United States
5 h-index
11 publications
641 citations
Columbia University
New York, United States
4 h-index
7 publications
360 citations
Swiss Finance Institute
Zurich, Switzerland
4 h-index
5 publications
734 citations
Shanghai Jiao Tong University
Shanghai, China
4 h-index
4 publications
116 citations
Federal Reserve Board of Governors
Washington D.C., United States
4 h-index
4 publications
609 citations
Northwestern University
Evanston, United States
4 h-index
4 publications
552 citations
Centre National de la Recherche Scientifique
Paris, France
4 h-index
5 publications
100 citations
1–8 of 305
Venues
- SSRN Electronic Journal
Repository · 26 publications · 993 citations
18
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- Journal of Econometrics
9 publications · 956 citations
9
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- Energy Economics
9 publications · 328 citations
8
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- Finance and Stochastics
6 publications · 502 citations
6
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- Journal of Computational and Applied Mathematics
4 publications · 82 citations
4
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1–5