Jump-Diffusion Processes

Carl Chiarella*, Xue Zhong He, Christina Sklibosios Nikitopoulos

*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceedingChapterpeer-review

1 Citation (Scopus)


This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide solutions when both the stock price and Poisson jump size are log-normal. We also extend Ito’s lemma for the jump-diffusion processes.

Original languageEnglish
Title of host publicationDynamic Modeling and Econometrics in Economics and Finance
PublisherSpringer Science and Business Media Deutschland GmbH
Number of pages21
Publication statusPublished - 2015
Externally publishedYes

Publication series

NameDynamic Modeling and Econometrics in Economics and Finance
ISSN (Print)1566-0419
ISSN (Electronic)2363-8370


  • Asset Price
  • Jump Process
  • Jump Size
  • Stochastic Differential Equation
  • Wiener Process


Dive into the research topics of 'Jump-Diffusion Processes'. Together they form a unique fingerprint.

Cite this