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Deterministic Jumps
  • Lecture 12: Jump Diffusion Models of the Smile , E.Derman (2008)
  • Hedging under the Heston Model with Jump-to-Default , P.Carr, W.Schoutens (2007)
  • Hedging with options in models with jumps , R.Cont, P.Tankov, E.Voltchkova (2007)
  • Pricing Equity Derivatives Subject to Bankruptcy , V. Linetsky (2006)
  • A jump to default extended CEV model: an application of Bessel processes , P. Carr, V. Linetsky (2006)
  • Replicating Defaultable Bonds in Black Scholes with Jump To Default , P. Carr (2005)
  • Option Pricing Models With Jumps : Integro-Diferential Equations And Inverse Problems , R.Cont, P.Tankov, E.Voltchkova (2004)
  • A Penalty Method for American Options with Jump Diffusion Processes , Y. d Halluin, P.A. Forsyth, G. Labahn (2003)
  • Non-parametric calibration of jump diffusion option pricing models , R.Cont, P.Tankov (2002)





















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