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In this paper we consider the problem of calculating the quantiles of a risky position,the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transfor...
We provide a complete characterization of the class of one-dimensional time-homogeneous di usions consistent with a given law at an exponentially distributed time using classical results in di usion t...
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processe...
We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia (1996) for the stationary density of a diffusion process, but when the diffusion is not stationary. We co...
We consider the exact path sampling of the squared Bessel process and some other continuous-timeMarkov processes, such as the CIR model, constant elasticity of variance diffusion model, and hypergeom...
The value function of an optimal stopping problem for a process with L´evy jumps is known to be a generalized solution of a variational inequality. Assuming the diffusion component of the proces...
We derive closed-form expansions for the asymptotic distribution of Hansen and Scheinkman [1995. Back to the future:generating moment implications for continuous-time Markov processes. Econometrica 63...
Likelihood Inference for Diffusions: A Survey.
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by...
We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in time but the time se...

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