Jump diffusion processes and their applications in insurance and finance

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

Business, Economics, Finance +17

Transform Analysis and Asset Pricing for Affine Jump-diffusions

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

Business, Economics, Finance +17

Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models

Mark H. Davis · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1984 · 1.1K citations

Engineering, Industrial Engineering, Optimization +12

Stochastic Volatility for Lévy Processes

Peter Carr, Hélyette Geman, Dilip B. Madan et al. · Mathematical Finance · 2003 · 911 citations

Engineering, Economics, Finance +17

Option Pricing Under a Double Exponential Jump Diffusion Model

Steven Kou, Hui Wang · Management Science · 2004 · 637 citations

Business, Finance, Financial Economics +16