Abstract
This chapter features jump, which is a key element in Chapters 4, 7, and 12. Jump processes are useful at modeling temporal behavior of asset prices such as crashes or the arrival of orders in a microstructure context. Jumps are also the key ingredients in Lévy processes, the latter of which will be discussed in detail in Chapter 17. For the reader interested in pursuing the study of jump processes, one may refer to Brémaud (1981). Elements on jumps may also be found in recent books dealing with the default of credits, see Schönbucher (2003). For a textbook with emphasis on jump processes, see Cont and Tankov (2004).
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© 2007 Springer-Verlag London Limited
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(2007). Jump Processes. In: Financial Modeling Under Non-Gaussian Distributions. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-84628-696-4_16
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DOI: https://doi.org/10.1007/978-1-84628-696-4_16
Publisher Name: Springer, London
Print ISBN: 978-1-84628-419-9
Online ISBN: 978-1-84628-696-4
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