We employ a Levy process subject only to negative jumps to describe the motion of asset
values. This specification permits fast computation of first passage probabilities. As a result …

Large, sudden movements occur periodically in nearly all financial markets. Whether
referred to as crashes, devaluations, corrections, defaults or jumps, they have substantial …

The purpose of this paper is to propose a new class of jump diffusions which feature both
stochastic volatility and random intensity jumps. Previous studies have focused primarily on …

We propose a new and flexible nonparametric framework for estimating the jump tails of Itô
semimartingale processes. The approach is based on a relatively simple‐to‐implement set …

A jump-diffusion log-return process with log-normal jump amplitudes is presented. The
probability density and other properties of the theoretical model are rigorously derived. This …

We consider the modelling of rare events in financial time series, and introduce a marked
point process model for the excesses of the time series over a high threshold that combines …

Prices of assets determined in highly liquid financial markets are generally viewed as
continuous functions of time. This is true of the Black-Scholes (1973), and Merton (1973) …

Drawdowns are essential aspects of risk assessment in investment management. They offer
a more natural measure of real market risks than the variance or other cumulants of daily (or …

We consider the modelling of extreme returns in financial time series, and introduce a
marked point process model for the exceedances of a high threshold. This model has a self …

Market clichés assert that markets take escalators up and elevators down. The observation
suggests differentiating models for up and down moves. Non-diffusive models allow for this …