Stochastic Volatility Models with Jumps

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
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Norbert Hilber: Zurich University of Applied Sciences
Oleg Reichmann: Swiss Federal Institute of Technology (ETH)
Christoph Schwab: Swiss Federal Institute of Technology (ETH)
Christoph Winter: Allianz Deutschland AG

Chapter Chapter 15 in Computational Methods for Quantitative Finance, 2013, pp 229-245 from Springer

Abstract: Abstract In Chap. 9 , we considered pure diffusion stochastic volatility models. We extend these models by adding jumps and derive numerical solutions for different models such as Bates or Barndorff-Nielsen and Shephard.

Keywords: Bilinear Form; Stochastic Volatility Model; Price Equation; Equivalent Martingale Measure; Poisson Random Measure (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-35401-4_15

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DOI: 10.1007/978-3-642-35401-4_15

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