Statistical & Financial Consulting by Stanford PhD

Home Page

Jump-diffusion is an *n*-dimensional stochastic process
_{}
satisfying the following stochastic differential equation (SDE):

where

Properties of jump-diffusions are an integral part of stochastic calculus. Several important models in empirical finance, financial engineering, engineering and physics are phrased in terms of jump-diffusions.

Karatzas, I., & Shreve, S. E. (1991). Brownian Motion and Stochastic Calculus (2nd ed). New York: Springer.

Shreve, S. E. (2004). Stochastic Calculus for Finance II: Continuous-Time Models. New York: Springer.

Oksendal, B. K. (2002). Stochastic Differential Equations: An Introduction with Applications (5th ed). Springer.

Protter, P. E. (2005). Stochastic Integration and Differential Equations (2nd ed). Springer.

Gikhman, I. I., & Skorokhod, A. V. (2007). The Theory of Stochastic Processes III. Springer.

- Detailed description of the services offered in the areas of statistical consulting and financial consulting: home page, types of service, experience, case studies and payment options
- Directory of financial topics