Nature

Introducing a new approach for modeling a given time series based on attributing any random variation to a jump event: jump-jump modeling

The analysis of stochastic processes has been a fundamental problem of interest in many research fields for decades. Examples of such processes include fluctuations of wind and solar power systems 1, ...
Risk

Technical paper/Jump diffusion

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Nature

Disentangling the stochastic behavior of complex time series

Complex systems involving a large number of degrees of freedom, generally exhibit non-stationary dynamics, which can result in either continuous or discontinuous sample paths of the corresponding time ...
Risk

Double-exponential jump-diffusion processes: a structural model of an endogenous default barrier with a rollover debt structure

We extend the framework of Leland, who proposed a structural model of rollover debt structure in a Black-Scholes framework.We apply this to the case of a doubleexponential jump-diffusion process, ...