2 papers
q-fin.MF2025
Density Approximation of Affine Jump Diffusions via Closed-Form Moment Matching
Yan-Feng Wu, Jian-Qiang Hu
We develop a recursive approach for deriving closed-form solutions to both conditional and unconditional moments of affine jump diffusions with state-independent jump intensities.…
q-fin.MF2024
ajdmom: A Python Package for Deriving Moment Formulas of Affine Jump Diffusion Processes
Yan-Feng Wu, Jian-Qiang Hu
We introduce ajdmom, a Python package designed for automatically deriving moment formulae for the well-established affine jump diffusion processes with state-independent jump inten…