Modelling Asynchronous Assets with Jump-Diffusion Processes

We present a new multivariate jump-diffusion model for modelling financial securities that have missing or asynchronous data in time series of historical prices. The proposed model allows us to analyze a portfolio that... [ view full abstract ]

We present a new multivariate jump-diffusion model for modelling financial securities that have missing or asynchronous data in time series of historical prices. The proposed model allows us to analyze a portfolio that combines a high-activity asset such as a market index (or an exchange-traded fund tracking a market index) and several low-activity assets. The model is constructed in such a way that low-activity assets correlate with each other only implicitly through the high-activity asset price process. The model parameters are calibrated using the MLE method.