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- Basic_affine_jump_diffusion abstract "In probability theory, a basic affine jump diffusion (basic AJD) is a stochastic process Z of the formwhere is a standard Brownian motion, and is an independent compound Poisson process with constant jump intensity and independent exponentially distributed jumps with mean . For the process to be well defined, it is necessary that and . A basic AJD is a special case of an affine process and of a jump diffusion. On the other hand, the Cox–Ingersoll–Ross (CIR) process is a special case of a basic AJD.Basic AJDs are attractive for modeling default times in credit risk applications, since both the moment generating functionand the characteristic functionare known in closed form.The characteristic function allows one to calculate the density of an integrated basic AJDby Fourier inversion, which can be done efficiently using the FFT.".
- Basic_affine_jump_diffusion wikiPageID "32401670".
- Basic_affine_jump_diffusion wikiPageRevisionID "543685087".
- Basic_affine_jump_diffusion hasPhotoCollection Basic_affine_jump_diffusion.
- Basic_affine_jump_diffusion subject Category:Stochastic_processes.
- Basic_affine_jump_diffusion type Abstraction100002137.
- Basic_affine_jump_diffusion type Cognition100023271.
- Basic_affine_jump_diffusion type Concept105835747.
- Basic_affine_jump_diffusion type Content105809192.
- Basic_affine_jump_diffusion type Hypothesis105888929.
- Basic_affine_jump_diffusion type Idea105833840.
- Basic_affine_jump_diffusion type Model105890249.
- Basic_affine_jump_diffusion type PsychologicalFeature100023100.
- Basic_affine_jump_diffusion type StochasticProcess113561896.
- Basic_affine_jump_diffusion type StochasticProcesses.
- Basic_affine_jump_diffusion comment "In probability theory, a basic affine jump diffusion (basic AJD) is a stochastic process Z of the formwhere is a standard Brownian motion, and is an independent compound Poisson process with constant jump intensity and independent exponentially distributed jumps with mean . For the process to be well defined, it is necessary that and . A basic AJD is a special case of an affine process and of a jump diffusion.".
- Basic_affine_jump_diffusion label "Basic affine jump diffusion".
- Basic_affine_jump_diffusion sameAs m.0gysdpd.
- Basic_affine_jump_diffusion sameAs Q4867017.
- Basic_affine_jump_diffusion sameAs Q4867017.
- Basic_affine_jump_diffusion sameAs Basic_affine_jump_diffusion.
- Basic_affine_jump_diffusion wasDerivedFrom Basic_affine_jump_diffusion?oldid=543685087.
- Basic_affine_jump_diffusion isPrimaryTopicOf Basic_affine_jump_diffusion.