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 ]


  1. Roman Makarov (Wilfrid Laurier University)
  2. Yuxin Chen (Wilfrid Laurier University)

Topic Areas

Calibration , Jump-Diffusions , Simulation


PS » Poster Presentations (11:00 - Monday, 16th July)

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