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