1386:
182:. The approach modelled sciences of electron-micrographs as containing multiple shapes, each having some fixed dimensional representation, with the collection of micrographs filling out the sample space corresponding to the unions of multiple finite-dimensional spaces. Using techniques from
422:
74:
typically consists of jumps between vacant lattice sites. On time and length scales that average over many single jumps, the net motion of the jumping atoms can be described as regular
1590:
1223:
1135:
2125:
417:
1949:
190:, containing the discrete notions of object number along with the continuum notions of shape. The jump-diffusion process was constructed to have
2552:
1545:
2082:
2062:
1476:
929:
504:
194:
properties so that after initially flowing away from its initial condition it would generate samples from the posterior probability model.
2466:
934:
2383:
348:
Hall, P. L.; Ross, D. K. (1981). "Incoherent neutron scattering functions for random jump diffusion in bounded and infinite media".
2067:
2393:
2077:
1269:
2435:
2332:
959:
209:
2622:
2612:
2458:
2150:
2135:
17:
2522:
2486:
1423:
2790:
2527:
1091:
2439:
1637:
1538:
2592:
827:
2637:
2443:
2427:
2342:
2170:
2140:
1562:
1329:
497:
240:
Singwi, K.; Sjölander, A. (1960). "Resonance
Absorption of Nuclear Gamma Rays and the Dynamics of Atomic Motions".
2542:
2507:
2476:
2471:
1907:
1824:
2481:
2110:
2105:
1912:
1809:
1264:
909:
380:
186:, a posterior probability model was constructed over the countable union of sample space; this is therefore a
2816:
2795:
2572:
2408:
2307:
2292:
1831:
1704:
1620:
1531:
2567:
2447:
294:
Sears, V. F. (1966). "Theory of Cold
Neutron Scattering by Homonuclear Diatomic Liquids: I. Free Rotation".
2577:
82:
2582:
2218:
2180:
1764:
1709:
1625:
1304:
842:
696:
490:
2512:
2821:
2517:
2502:
2145:
2115:
1682:
1580:
1160:
1101:
923:
86:
2597:
2398:
2312:
2297:
2228:
1804:
1687:
1585:
1205:
1016:
267:
Chudley, C. T.; Elliott, R. J. (1961). "Neutron
Scattering from a Liquid on a Jump Diffusion Model".
2431:
2317:
1819:
1794:
1739:
1416:
1324:
1319:
90:
51:
2732:
2722:
2537:
2413:
2195:
2120:
1934:
1799:
1655:
1610:
1274:
974:
944:
919:
802:
643:
575:
2674:
2602:
2027:
2017:
1861:
1071:
1056:
1021:
964:
2697:
2679:
2659:
2654:
2373:
2205:
2185:
2032:
1975:
1814:
1724:
1471:
1466:
1456:
1284:
1051:
949:
628:
47:
43:
2772:
2727:
2717:
2403:
2378:
2347:
2327:
2165:
2087:
2072:
1939:
1492:
1432:
1238:
1195:
1185:
1175:
1170:
896:
837:
772:
726:
721:
595:
555:
522:
159:
59:
8:
2767:
2607:
2532:
2337:
2097:
2007:
1897:
1409:
1243:
1031:
954:
777:
2737:
2702:
2617:
2587:
2418:
2357:
2352:
2175:
2012:
1677:
1615:
1554:
1446:
1294:
1279:
1248:
1233:
1200:
1066:
857:
822:
585:
550:
513:
468:
459:
Grenander, U.; Miller, M.I. (1994). "Representations of
Knowledge in Complex Systems".
31:
444:
166:, jump-diffusion processes were first introduced by Grenander and Miller as a form of
2757:
1970:
1887:
1856:
1749:
1729:
1719:
1575:
1570:
1299:
1289:
1228:
1215:
1190:
1076:
862:
658:
420:(2012). "Forecasting high-frequency futures returns using online Langevin dynamics".
393:
280:
171:
124:
39:
2562:
2213:
2777:
2664:
2547:
2423:
2160:
1917:
1892:
1841:
1692:
1645:
1461:
1451:
1180:
1119:
1114:
1096:
1026:
792:
787:
759:
711:
590:
530:
439:
431:
397:
389:
375:
357:
330:
321:
Sears, V. F. (1967). "Cold
Neutron Scattering by Molecular Liquids: Iii. Methane".
303:
276:
249:
219:
128:
71:
1769:
97:
Singwi, Sjölander 1960: alternation between oscillatory motion and directed motion
2742:
2642:
2627:
2388:
2322:
2000:
1944:
1927:
1672:
1502:
1390:
1360:
1355:
1309:
1145:
1140:
1086:
996:
904:
877:
817:
812:
782:
731:
716:
633:
613:
167:
163:
2557:
1789:
2747:
2712:
2632:
2238:
1985:
1902:
1871:
1866:
1846:
1836:
1754:
1734:
1699:
1667:
1650:
1365:
1350:
1150:
1061:
1011:
988:
969:
797:
739:
706:
701:
681:
605:
435:
183:
155:
132:
55:
1774:
361:
2810:
2649:
2190:
2022:
1980:
1922:
1744:
1660:
1600:
1345:
1314:
1155:
1081:
1041:
1036:
872:
744:
691:
686:
668:
565:
545:
253:
215:
212:(PDMP), an example of jump diffusion and a generalization of the jump process
187:
116:
2707:
2669:
2223:
2155:
2044:
2039:
1851:
1784:
1759:
1595:
1165:
939:
867:
847:
807:
676:
648:
638:
580:
203:
179:
120:
35:
378:(1976). "Option pricing when underlying stock returns are discontinuous".
149:
2752:
2287:
2271:
2266:
2261:
2251:
2054:
1995:
1990:
1954:
1714:
1605:
1046:
914:
885:
881:
832:
623:
618:
143:
140:
136:
2762:
2302:
2246:
2130:
2083:
Generalized autoregressive conditional heteroskedasticity (GARCH) model
1523:
1370:
1006:
1001:
767:
653:
472:
402:
2256:
560:
482:
75:
334:
307:
1497:
1130:
852:
749:
570:
191:
175:
103:
Sears 1966, 1967: jump diffusion of rotational degrees of freedom
1385:
1401:
127:. In finance, jump-diffusion models were first introduced by
106:
Hall, Ross 1981: jump diffusion within a restricted volume
2063:
Autoregressive conditional heteroskedasticity (ARCH) model
131:. Such models have a range of financial applications from
1512:
1507:
1591:
Independent and identically distributed random variables
81:
Jump diffusion can be studied on a microscopic scale by
150:
In pattern theory, computer vision, and medical imaging
93:
have been derived for several jump(-diffusion) models:
2068:
Autoregressive integrated moving average (ARIMA) model
423:
IEEE Journal of
Selected Topics in Signal Processing
461:Journal of the Royal Statistical Society, Series B
2808:
1950:Stochastic chains with memory of variable length
458:
239:
170:algorithm that mixes "focus"-like motions, the
266:
1539:
1417:
498:
416:
110:
2078:Autoregressive–moving-average (ARMA) model
1546:
1532:
1424:
1410:
505:
491:
443:
401:
100:Chudley, Elliott 1961: jumps on a lattice
1553:
347:
1330:Power reverse dual-currency note (PRDC)
1270:Constant proportion portfolio insurance
14:
2809:
2384:Doob's martingale convergence theorems
512:
374:
210:Piecewise-deterministic Markov process
2136:Constant elasticity of variance (CEV)
2126:Chan–Karolyi–Longstaff–Sanders (CKLS)
1527:
1405:
486:
320:
293:
222:), a generalization of jump diffusion
1265:Collateralized debt obligation (CDO)
115:A jump-diffusion model is a form of
269:Proceedings of the Physical Society
42:. It has important applications in
24:
2623:Skorokhod's representation theorem
2404:Law of large numbers (weak/strong)
25:
2833:
2593:Martingale representation theorem
2638:Stochastic differential equation
2528:Doob's optional stopping theorem
2523:Doob–Meyer decomposition theorem
1384:
2508:Convergence of random variables
2394:Fisher–Tippett–Gnedenko theorem
2106:Binomial options pricing model
1431:
1092:Year-on-year inflation-indexed
452:
410:
381:Journal of Financial Economics
368:
341:
314:
287:
260:
233:
206:, an example of jump diffusion
13:
1:
2573:Kolmogorov continuity theorem
2409:Law of the iterated logarithm
1102:Zero-coupon inflation-indexed
226:
89:. Closed expressions for the
65:
2578:Kolmogorov extension theorem
2257:Generalized queueing network
1765:Interacting particle systems
394:10.1016/0304-405X(76)90022-2
83:inelastic neutron scattering
7:
1710:Continuous-time random walk
1305:Foreign exchange derivative
697:Callable bull/bear contract
323:Canadian Journal of Physics
296:Canadian Journal of Physics
197:
10:
2838:
2718:Extreme value theory (EVT)
2518:Doob decomposition theorem
1810:Ornstein–Uhlenbeck process
1581:Chinese restaurant process
445:10.1109/JSTSP.2012.2191532
436:10.1109/JSTSP.2012.2191532
281:10.1088/0370-1328/77/2/319
2786:
2690:
2598:Optional stopping theorem
2495:
2457:
2399:Large deviation principle
2366:
2280:
2237:
2204:
2151:Heath–Jarrow–Morton (HJM)
2096:
2088:Moving-average (MA) model
2073:Autoregressive (AR) model
2053:
1963:
1898:Hidden Markov model (HMM)
1880:
1832:Schramm–Loewner evolution
1636:
1561:
1485:
1439:
1379:
1338:
1257:
1214:
1206:Stock market index future
1110:
987:
895:
758:
667:
604:
538:
529:
520:
362:10.1080/00268978100100521
2513:Doléans-Dade exponential
2343:Progressively measurable
2141:Cox–Ingersoll–Ross (CIR)
1325:Mortgage-backed security
1320:Interest rate derivative
1295:Equity-linked note (ELN)
1280:Credit-linked note (CLN)
254:10.1103/PhysRev.120.1093
111:In economics and finance
91:autocorrelation function
52:condensed matter physics
2733:Mathematical statistics
2723:Large deviations theory
2553:Infinitesimal generator
2414:Maximal ergodic theorem
2333:Piecewise-deterministic
1935:Random dynamical system
1800:Markov additive process
1275:Contract for difference
576:Risk-free interest rate
2568:Karhunen–Loève theorem
2503:Cameron–Martin formula
2467:Burkholder–Davis–Gundy
1862:Variance gamma process
1057:Forward Rate Agreement
48:coronal mass ejections
2698:Actuarial mathematics
2660:Uniform integrability
2655:Stratonovich integral
2583:Lévy–Prokhorov metric
2487:Marcinkiewicz–Zygmund
2374:Central limit theorem
1976:Gaussian random field
1805:McKean–Vlasov process
1725:Dyson Brownian motion
1586:Galton–Watson process
1472:Jump-diffusion models
1467:Stochastic volatility
1457:Volatility clustering
1285:Credit default option
629:Employee stock option
87:Mößbauer spectroscopy
44:magnetic reconnection
18:Jump-diffusion models
2817:Stochastic processes
2773:Time series analysis
2728:Mathematical finance
2613:Reflection principle
1940:Regenerative process
1740:Fleming–Viot process
1555:Stochastic processes
1493:Volatility arbitrage
1440:Modelling volatility
1239:Inflation derivative
1224:Commodity derivative
1196:Single-stock futures
1186:Normal backwardation
1176:Interest rate future
1017:Conditional variance
523:Derivative (finance)
160:computational vision
60:computational vision
2768:Stochastic analysis
2608:Quadratic variation
2603:Prokhorov's theorem
2538:Feynman–Kac formula
2008:Markov random field
1656:Birth–death process
1391:Business portal
1244:Property derivative
218:(in the context of
188:hybrid system model
178:-like motions, via
172:diffusion processes
2738:Probability theory
2618:Skorokhod integral
2588:Malliavin calculus
2171:Korn-Kreer-Lenssen
2055:Time series models
2018:Pitman–Yor process
1486:Trading volatility
1447:Implied volatility
1249:Weather derivative
1234:Freight derivative
1216:Exotic derivatives
1136:Commodities future
823:Intermarket spread
586:Synthetic position
514:Derivatives market
418:Christensen, H. L.
32:stochastic process
2822:Options (finance)
2804:
2803:
2758:Signal processing
2477:Doob's upcrossing
2472:Doob's martingale
2436:Engelbert–Schmidt
2379:Donsker's theorem
2313:Feller-continuous
2181:Rendleman–Bartter
1971:Dirichlet process
1888:Branching process
1857:Telegraph process
1750:Geometric process
1730:Empirical process
1720:Diffusion process
1576:Branching process
1571:Bernoulli process
1521:
1520:
1399:
1398:
1300:Equity derivative
1290:Credit derivative
1258:Other derivatives
1229:Energy derivative
1191:Perpetual futures
1072:Overnight indexed
1022:Constant maturity
983:
982:
930:Finite difference
863:Protective option
350:Molecular Physics
220:dynamical systems
125:diffusion process
16:(Redirected from
2829:
2778:Machine learning
2665:Usual hypotheses
2548:Girsanov theorem
2533:Dynkin's formula
2298:Continuous paths
2206:Actuarial models
2146:Garman–Kohlhagen
2116:Black–Karasinski
2111:Black–Derman–Toy
2098:Financial models
1964:Fields and other
1893:Gaussian process
1842:Sigma-martingale
1646:Additive process
1548:
1541:
1534:
1525:
1524:
1462:Local volatility
1452:Volatility smile
1426:
1419:
1412:
1403:
1402:
1389:
1388:
1161:Forwards pricing
935:Garman–Kohlhagen
536:
535:
507:
500:
493:
484:
483:
477:
476:
456:
450:
449:
447:
414:
408:
407:
405:
388:(1–2): 125–144.
372:
366:
365:
345:
339:
338:
318:
312:
311:
302:(6): 1279–1297.
291:
285:
284:
264:
258:
257:
237:
129:Robert C. Merton
72:atomic diffusion
21:
2837:
2836:
2832:
2831:
2830:
2828:
2827:
2826:
2807:
2806:
2805:
2800:
2782:
2743:Queueing theory
2686:
2628:Skorokhod space
2491:
2482:Kunita–Watanabe
2453:
2419:Sanov's theorem
2389:Ergodic theorem
2362:
2358:Time-reversible
2276:
2239:Queueing models
2233:
2229:Sparre–Anderson
2219:Cramér–Lundberg
2200:
2186:SABR volatility
2092:
2049:
2001:Boolean network
1959:
1945:Renewal process
1876:
1825:Non-homogeneous
1815:Poisson process
1705:Contact process
1668:Brownian motion
1638:Continuous time
1632:
1626:Maximal entropy
1557:
1552:
1522:
1517:
1503:Volatility swap
1481:
1435:
1430:
1400:
1395:
1383:
1375:
1361:Great Recession
1356:Government debt
1334:
1310:Fund derivative
1253:
1210:
1171:Futures pricing
1146:Dividend future
1141:Currency future
1124:
1106:
979:
955:Put–call parity
891:
878:Vertical spread
813:Diagonal spread
783:Calendar spread
754:
663:
600:
525:
516:
511:
481:
480:
457:
453:
415:
411:
373:
369:
346:
342:
335:10.1139/p67-025
319:
315:
308:10.1139/p66-108
292:
288:
265:
261:
242:Physical Review
238:
234:
229:
200:
168:random sampling
164:medical imaging
152:
113:
68:
23:
22:
15:
12:
11:
5:
2835:
2825:
2824:
2819:
2802:
2801:
2799:
2798:
2793:
2791:List of topics
2787:
2784:
2783:
2781:
2780:
2775:
2770:
2765:
2760:
2755:
2750:
2748:Renewal theory
2745:
2740:
2735:
2730:
2725:
2720:
2715:
2713:Ergodic theory
2710:
2705:
2703:Control theory
2700:
2694:
2692:
2688:
2687:
2685:
2684:
2683:
2682:
2677:
2667:
2662:
2657:
2652:
2647:
2646:
2645:
2635:
2633:Snell envelope
2630:
2625:
2620:
2615:
2610:
2605:
2600:
2595:
2590:
2585:
2580:
2575:
2570:
2565:
2560:
2555:
2550:
2545:
2540:
2535:
2530:
2525:
2520:
2515:
2510:
2505:
2499:
2497:
2493:
2492:
2490:
2489:
2484:
2479:
2474:
2469:
2463:
2461:
2455:
2454:
2452:
2451:
2432:Borel–Cantelli
2421:
2416:
2411:
2406:
2401:
2396:
2391:
2386:
2381:
2376:
2370:
2368:
2367:Limit theorems
2364:
2363:
2361:
2360:
2355:
2350:
2345:
2340:
2335:
2330:
2325:
2320:
2315:
2310:
2305:
2300:
2295:
2290:
2284:
2282:
2278:
2277:
2275:
2274:
2269:
2264:
2259:
2254:
2249:
2243:
2241:
2235:
2234:
2232:
2231:
2226:
2221:
2216:
2210:
2208:
2202:
2201:
2199:
2198:
2193:
2188:
2183:
2178:
2173:
2168:
2163:
2158:
2153:
2148:
2143:
2138:
2133:
2128:
2123:
2118:
2113:
2108:
2102:
2100:
2094:
2093:
2091:
2090:
2085:
2080:
2075:
2070:
2065:
2059:
2057:
2051:
2050:
2048:
2047:
2042:
2037:
2036:
2035:
2030:
2020:
2015:
2010:
2005:
2004:
2003:
1998:
1988:
1986:Hopfield model
1983:
1978:
1973:
1967:
1965:
1961:
1960:
1958:
1957:
1952:
1947:
1942:
1937:
1932:
1931:
1930:
1925:
1920:
1915:
1905:
1903:Markov process
1900:
1895:
1890:
1884:
1882:
1878:
1877:
1875:
1874:
1872:Wiener sausage
1869:
1867:Wiener process
1864:
1859:
1854:
1849:
1847:Stable process
1844:
1839:
1837:Semimartingale
1834:
1829:
1828:
1827:
1822:
1812:
1807:
1802:
1797:
1792:
1787:
1782:
1780:Jump diffusion
1777:
1772:
1767:
1762:
1757:
1755:Hawkes process
1752:
1747:
1742:
1737:
1735:Feller process
1732:
1727:
1722:
1717:
1712:
1707:
1702:
1700:Cauchy process
1697:
1696:
1695:
1690:
1685:
1680:
1675:
1665:
1664:
1663:
1653:
1651:Bessel process
1648:
1642:
1640:
1634:
1633:
1631:
1630:
1629:
1628:
1623:
1618:
1613:
1603:
1598:
1593:
1588:
1583:
1578:
1573:
1567:
1565:
1559:
1558:
1551:
1550:
1543:
1536:
1528:
1519:
1518:
1516:
1515:
1510:
1505:
1500:
1495:
1489:
1487:
1483:
1482:
1480:
1479:
1477:ARCH and GARCH
1474:
1469:
1464:
1459:
1454:
1449:
1443:
1441:
1437:
1436:
1429:
1428:
1421:
1414:
1406:
1397:
1396:
1394:
1393:
1380:
1377:
1376:
1374:
1373:
1368:
1366:Municipal debt
1363:
1358:
1353:
1351:Corporate debt
1348:
1342:
1340:
1336:
1335:
1333:
1332:
1327:
1322:
1317:
1312:
1307:
1302:
1297:
1292:
1287:
1282:
1277:
1272:
1267:
1261:
1259:
1255:
1254:
1252:
1251:
1246:
1241:
1236:
1231:
1226:
1220:
1218:
1212:
1211:
1209:
1208:
1203:
1198:
1193:
1188:
1183:
1178:
1173:
1168:
1163:
1158:
1153:
1151:Forward market
1148:
1143:
1138:
1133:
1127:
1125:
1123:
1122:
1117:
1111:
1108:
1107:
1105:
1104:
1099:
1094:
1089:
1084:
1079:
1074:
1069:
1064:
1059:
1054:
1049:
1044:
1039:
1034:
1032:Credit default
1029:
1024:
1019:
1014:
1009:
1004:
999:
993:
991:
985:
984:
981:
980:
978:
977:
972:
967:
962:
957:
952:
947:
942:
937:
932:
927:
917:
912:
907:
901:
899:
893:
892:
890:
889:
875:
870:
865:
860:
855:
850:
845:
840:
835:
830:
828:Iron butterfly
825:
820:
815:
810:
805:
800:
798:Covered option
795:
790:
785:
780:
775:
770:
764:
762:
756:
755:
753:
752:
747:
742:
737:
736:Mountain range
734:
729:
724:
719:
714:
709:
704:
699:
694:
689:
684:
679:
673:
671:
665:
664:
662:
661:
656:
651:
646:
641:
636:
631:
626:
621:
616:
610:
608:
602:
601:
599:
598:
593:
588:
583:
578:
573:
568:
563:
558:
553:
548:
542:
540:
533:
527:
526:
521:
518:
517:
510:
509:
502:
495:
487:
479:
478:
467:(4): 549–603.
451:
430:(4): 366–380.
409:
367:
340:
329:(2): 237–254.
313:
286:
259:
231:
230:
228:
225:
224:
223:
213:
207:
199:
196:
184:pattern theory
180:jump processes
156:pattern theory
151:
148:
133:option pricing
112:
109:
108:
107:
104:
101:
98:
67:
64:
56:pattern theory
34:that involves
28:Jump diffusion
9:
6:
4:
3:
2:
2834:
2823:
2820:
2818:
2815:
2814:
2812:
2797:
2794:
2792:
2789:
2788:
2785:
2779:
2776:
2774:
2771:
2769:
2766:
2764:
2761:
2759:
2756:
2754:
2751:
2749:
2746:
2744:
2741:
2739:
2736:
2734:
2731:
2729:
2726:
2724:
2721:
2719:
2716:
2714:
2711:
2709:
2706:
2704:
2701:
2699:
2696:
2695:
2693:
2689:
2681:
2678:
2676:
2673:
2672:
2671:
2668:
2666:
2663:
2661:
2658:
2656:
2653:
2651:
2650:Stopping time
2648:
2644:
2641:
2640:
2639:
2636:
2634:
2631:
2629:
2626:
2624:
2621:
2619:
2616:
2614:
2611:
2609:
2606:
2604:
2601:
2599:
2596:
2594:
2591:
2589:
2586:
2584:
2581:
2579:
2576:
2574:
2571:
2569:
2566:
2564:
2561:
2559:
2556:
2554:
2551:
2549:
2546:
2544:
2541:
2539:
2536:
2534:
2531:
2529:
2526:
2524:
2521:
2519:
2516:
2514:
2511:
2509:
2506:
2504:
2501:
2500:
2498:
2494:
2488:
2485:
2483:
2480:
2478:
2475:
2473:
2470:
2468:
2465:
2464:
2462:
2460:
2456:
2449:
2445:
2441:
2440:Hewitt–Savage
2437:
2433:
2429:
2425:
2424:Zero–one laws
2422:
2420:
2417:
2415:
2412:
2410:
2407:
2405:
2402:
2400:
2397:
2395:
2392:
2390:
2387:
2385:
2382:
2380:
2377:
2375:
2372:
2371:
2369:
2365:
2359:
2356:
2354:
2351:
2349:
2346:
2344:
2341:
2339:
2336:
2334:
2331:
2329:
2326:
2324:
2321:
2319:
2316:
2314:
2311:
2309:
2306:
2304:
2301:
2299:
2296:
2294:
2291:
2289:
2286:
2285:
2283:
2279:
2273:
2270:
2268:
2265:
2263:
2260:
2258:
2255:
2253:
2250:
2248:
2245:
2244:
2242:
2240:
2236:
2230:
2227:
2225:
2222:
2220:
2217:
2215:
2212:
2211:
2209:
2207:
2203:
2197:
2194:
2192:
2189:
2187:
2184:
2182:
2179:
2177:
2174:
2172:
2169:
2167:
2164:
2162:
2159:
2157:
2154:
2152:
2149:
2147:
2144:
2142:
2139:
2137:
2134:
2132:
2129:
2127:
2124:
2122:
2121:Black–Scholes
2119:
2117:
2114:
2112:
2109:
2107:
2104:
2103:
2101:
2099:
2095:
2089:
2086:
2084:
2081:
2079:
2076:
2074:
2071:
2069:
2066:
2064:
2061:
2060:
2058:
2056:
2052:
2046:
2043:
2041:
2038:
2034:
2031:
2029:
2026:
2025:
2024:
2023:Point process
2021:
2019:
2016:
2014:
2011:
2009:
2006:
2002:
1999:
1997:
1994:
1993:
1992:
1989:
1987:
1984:
1982:
1981:Gibbs measure
1979:
1977:
1974:
1972:
1969:
1968:
1966:
1962:
1956:
1953:
1951:
1948:
1946:
1943:
1941:
1938:
1936:
1933:
1929:
1926:
1924:
1921:
1919:
1916:
1914:
1911:
1910:
1909:
1906:
1904:
1901:
1899:
1896:
1894:
1891:
1889:
1886:
1885:
1883:
1879:
1873:
1870:
1868:
1865:
1863:
1860:
1858:
1855:
1853:
1850:
1848:
1845:
1843:
1840:
1838:
1835:
1833:
1830:
1826:
1823:
1821:
1818:
1817:
1816:
1813:
1811:
1808:
1806:
1803:
1801:
1798:
1796:
1793:
1791:
1788:
1786:
1783:
1781:
1778:
1776:
1773:
1771:
1770:ItĂ´ diffusion
1768:
1766:
1763:
1761:
1758:
1756:
1753:
1751:
1748:
1746:
1745:Gamma process
1743:
1741:
1738:
1736:
1733:
1731:
1728:
1726:
1723:
1721:
1718:
1716:
1713:
1711:
1708:
1706:
1703:
1701:
1698:
1694:
1691:
1689:
1686:
1684:
1681:
1679:
1676:
1674:
1671:
1670:
1669:
1666:
1662:
1659:
1658:
1657:
1654:
1652:
1649:
1647:
1644:
1643:
1641:
1639:
1635:
1627:
1624:
1622:
1619:
1617:
1616:Self-avoiding
1614:
1612:
1609:
1608:
1607:
1604:
1602:
1601:Moran process
1599:
1597:
1594:
1592:
1589:
1587:
1584:
1582:
1579:
1577:
1574:
1572:
1569:
1568:
1566:
1564:
1563:Discrete time
1560:
1556:
1549:
1544:
1542:
1537:
1535:
1530:
1529:
1526:
1514:
1511:
1509:
1506:
1504:
1501:
1499:
1496:
1494:
1491:
1490:
1488:
1484:
1478:
1475:
1473:
1470:
1468:
1465:
1463:
1460:
1458:
1455:
1453:
1450:
1448:
1445:
1444:
1442:
1438:
1434:
1427:
1422:
1420:
1415:
1413:
1408:
1407:
1404:
1392:
1387:
1382:
1381:
1378:
1372:
1369:
1367:
1364:
1362:
1359:
1357:
1354:
1352:
1349:
1347:
1346:Consumer debt
1344:
1343:
1341:
1339:Market issues
1337:
1331:
1328:
1326:
1323:
1321:
1318:
1316:
1315:Fund of funds
1313:
1311:
1308:
1306:
1303:
1301:
1298:
1296:
1293:
1291:
1288:
1286:
1283:
1281:
1278:
1276:
1273:
1271:
1268:
1266:
1263:
1262:
1260:
1256:
1250:
1247:
1245:
1242:
1240:
1237:
1235:
1232:
1230:
1227:
1225:
1222:
1221:
1219:
1217:
1213:
1207:
1204:
1202:
1199:
1197:
1194:
1192:
1189:
1187:
1184:
1182:
1179:
1177:
1174:
1172:
1169:
1167:
1164:
1162:
1159:
1157:
1156:Forward price
1154:
1152:
1149:
1147:
1144:
1142:
1139:
1137:
1134:
1132:
1129:
1128:
1126:
1121:
1118:
1116:
1113:
1112:
1109:
1103:
1100:
1098:
1095:
1093:
1090:
1088:
1085:
1083:
1080:
1078:
1075:
1073:
1070:
1068:
1067:Interest rate
1065:
1063:
1060:
1058:
1055:
1053:
1050:
1048:
1045:
1043:
1040:
1038:
1035:
1033:
1030:
1028:
1025:
1023:
1020:
1018:
1015:
1013:
1010:
1008:
1005:
1003:
1000:
998:
995:
994:
992:
990:
986:
976:
973:
971:
968:
966:
963:
961:
960:MC Simulation
958:
956:
953:
951:
948:
946:
943:
941:
938:
936:
933:
931:
928:
925:
921:
920:Black–Scholes
918:
916:
913:
911:
908:
906:
903:
902:
900:
898:
894:
887:
883:
879:
876:
874:
873:Risk reversal
871:
869:
866:
864:
861:
859:
856:
854:
851:
849:
846:
844:
841:
839:
836:
834:
831:
829:
826:
824:
821:
819:
816:
814:
811:
809:
806:
804:
803:Credit spread
801:
799:
796:
794:
791:
789:
786:
784:
781:
779:
776:
774:
771:
769:
766:
765:
763:
761:
757:
751:
748:
746:
743:
741:
738:
735:
733:
730:
728:
727:Interest rate
725:
723:
722:Forward start
720:
718:
715:
713:
710:
708:
705:
703:
700:
698:
695:
693:
690:
688:
685:
683:
680:
678:
675:
674:
672:
670:
666:
660:
657:
655:
652:
650:
649:Option styles
647:
645:
642:
640:
637:
635:
632:
630:
627:
625:
622:
620:
617:
615:
612:
611:
609:
607:
603:
597:
594:
592:
589:
587:
584:
582:
579:
577:
574:
572:
569:
567:
566:Open interest
564:
562:
559:
557:
554:
552:
549:
547:
546:Delta neutral
544:
543:
541:
537:
534:
532:
528:
524:
519:
515:
508:
503:
501:
496:
494:
489:
488:
485:
474:
470:
466:
462:
455:
446:
441:
437:
433:
429:
425:
424:
419:
413:
404:
399:
395:
391:
387:
383:
382:
377:
376:Merton, R. C.
371:
363:
359:
355:
351:
344:
336:
332:
328:
324:
317:
309:
305:
301:
297:
290:
282:
278:
274:
270:
263:
255:
251:
247:
243:
236:
232:
221:
217:
216:Hybrid system
214:
211:
208:
205:
202:
201:
195:
193:
189:
185:
181:
177:
173:
169:
165:
161:
157:
147:
145:
142:
138:
134:
130:
126:
122:
118:
117:mixture model
105:
102:
99:
96:
95:
94:
92:
88:
84:
79:
77:
73:
70:In crystals,
63:
61:
57:
53:
49:
45:
41:
37:
33:
29:
19:
2708:Econometrics
2670:Wiener space
2558:ItĂ´ integral
2459:Inequalities
2348:Self-similar
2318:Gauss–Markov
2308:Exchangeable
2288:CĂ dlĂ g paths
2224:Risk process
2176:LIBOR market
2045:Random graph
2040:Random field
1852:Superprocess
1790:LĂ©vy process
1785:Jump process
1779:
1760:Hunt process
1596:Markov chain
1166:Forward rate
1077:Total return
965:Real options
868:Ratio spread
848:Naked option
808:Debit spread
639:Fixed income
581:Strike price
464:
460:
454:
427:
421:
412:
385:
379:
370:
353:
349:
343:
326:
322:
316:
299:
295:
289:
272:
268:
262:
245:
241:
235:
204:Jump process
153:
121:jump process
114:
80:
69:
27:
26:
2753:Ruin theory
2691:Disciplines
2563:ItĂ´'s lemma
2338:Predictable
2013:Percolation
1996:Potts model
1991:Ising model
1955:White noise
1913:Differences
1775:ItĂ´ process
1715:Cox process
1611:Loop-erased
1606:Random walk
1097:Zero Coupon
1027:Correlation
975:Vanna–Volga
833:Iron condor
619:Bond option
403:1721.1/1899
248:(4): 1093.
144:forecasting
141:time series
137:credit risk
119:, mixing a
2811:Categories
2763:Statistics
2543:Filtration
2444:Kolmogorov
2428:Blumenthal
2353:Stationary
2293:Continuous
2281:Properties
2166:Hull–White
1908:Martingale
1795:Local time
1683:Fractional
1661:pure birth
1433:Volatility
1371:Tax policy
1087:Volatility
997:Amortising
838:Jelly roll
773:Box spread
768:Backspread
760:Strategies
596:Volatility
591:the Greeks
556:Expiration
356:(3): 673.
275:(2): 353.
227:References
66:In physics
2675:Classical
1688:Geometric
1678:Excursion
1062:Inflation
1012:Commodity
970:Trinomial
905:Bachelier
897:Valuation
778:Butterfly
712:Commodore
561:Moneyness
76:diffusion
40:diffusion
2796:Category
2680:Abstract
2214:BĂĽhlmann
1820:Compound
1498:Straddle
1201:Slippage
1131:Contango
1115:Forwards
1082:Variance
1042:Dividend
1037:Currency
950:Margrabe
945:Lattices
924:equation
910:Binomial
858:Strangle
853:Straddle
750:Swaption
732:Lookback
717:Compound
659:Warrants
634:European
614:American
606:Vanillas
571:Pin risk
551:Exercise
198:See also
2303:Ergodic
2191:VašĂÄŤek
2033:Poisson
1693:Meander
1120:Futures
740:Rainbow
707:Cliquet
702:Chooser
682:Barrier
669:Exotics
531:Options
473:2346184
192:ergodic
176:saccade
174:, with
85:and by
2643:Tanaka
2328:Mixing
2323:Markov
2196:Wilkie
2161:Ho–Lee
2156:Heston
1928:Super-
1673:Bridge
1621:Biased
1181:Margin
1047:Equity
940:Heston
843:Ladder
793:Condor
788:Collar
745:Spread
692:Binary
687:Basket
471:
123:and a
54:, and
2496:Tools
2272:M/M/c
2267:M/M/1
2262:M/G/1
2252:Fluid
1918:Local
1052:Forex
1007:Basis
1002:Asset
989:Swaps
915:Black
818:Fence
677:Asian
539:Terms
469:JSTOR
139:, to
135:, to
36:jumps
30:is a
2448:LĂ©vy
2247:Bulk
2131:Chen
1923:Sub-
1881:Both
886:Bull
882:Bear
624:Call
158:and
58:and
38:and
2028:Cox
1513:VIX
1508:IVX
654:Put
440:hdl
432:doi
398:hdl
390:doi
358:doi
331:doi
304:doi
277:doi
250:doi
246:120
162:in
154:In
146:.
2813::
2446:,
2442:,
2438:,
2434:,
2430:,
884:,
644:FX
465:56
463:.
438:.
426:.
396:.
384:.
354:42
352:.
327:45
325:.
300:44
298:.
273:77
271:.
244:.
78:.
62:.
50:,
46:,
2450:)
2426:(
1547:e
1540:t
1533:v
1425:e
1418:t
1411:v
926:)
922:(
888:)
880:(
506:e
499:t
492:v
475:.
448:.
442::
434::
428:6
406:.
400::
392::
386:3
364:.
360::
337:.
333::
310:.
306::
283:.
279::
256:.
252::
20:)
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.