Author: Ouwehand, Peter
Similar Items: Identifying jumps in financial time series: a comparative study of jump detection tests
- Jump detection tests in financial time series ? a deep learning approach
- Implementing short-rate models with jumps at deterministic times
- Level-dependent volatility in jumping short-rate models
- An introduction to interest rate jumps at deterministic times
- Modelling Equities with a Stochastic Volatility Jump Diffusion
- Heath–Jarrow–Morton models with jumps