jump diffusion model

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• Jump-diffusion models — A jump diffusion model is an option valuation model in which a jump process, in addition to diffusion process, is utilized to model the underlying …   Wikipedia

• Jump process — A jump process is a type of stochastic process that has large discrete movements (jumps), rather than small continuous movements. This concept is frequently used in finance. Various stochastic models are used to model the price movements of… …   Wikipedia

• Diffusion-controlled reaction — Diffusion controlled (or diffusion limited) reactions are reactions that occur so quickly that the reaction rate is the rate of transport of the reactants through the reaction medium (usually a solution).[1] As quickly as the reactants encounter… …   Wikipedia

• Mixture model — See also: Mixture distribution In statistics, a mixture model is a probabilistic model for representing the presence of sub populations within an overall population, without requiring that an observed data set should identify the sub population… …   Wikipedia

• Cox–Ingersoll–Ross model — Three trajectories of CIR Processes In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. It is a type of one factor model (short rate model) as it describes interest rate movements as… …   Wikipedia

• Constant Elasticity of Variance Model — In mathematical finance, the CEV or Constant Elasticity of Variance model is a stochastic volatility model, which attempts to capture stochastic volatility and the leverage effect. The model is widely used by practitioners in the financial… …   Wikipedia

• Surface diffusion — [ adatom diffusing across a square surface lattice. Note the frequency of vibration of the adatom is greater than the jump rate to nearby sites. Also, the model displays examples of both nearest neighbor jumps (straight) and next nearest neighbor …   Wikipedia

• Merton Model — The Merton model is a model proposed by Robert C. Merton in 1974 for assessing the credit risk of a company by characterizing the company s equity as a call option on its assets. Put call parity is then used to price the value of a put and this… …   Wikipedia

• Atomic diffusion — is a process whereby the random thermally activated hopping of atoms in a solid results in the net transport of atoms. For example, helium atoms inside a balloon can diffuse through the wall of the balloon and escape, resulting in the balloon… …   Wikipedia

• Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia

• Autoregressive conditional heteroskedasticity — ARCH redirects here. For the children s rights organization, see Action on Rights for Children. In econometrics, AutoRegressive Conditional Heteroskedasticity (ARCH) models are used to characterize and model observed time series. They are used… …   Wikipedia