Transform Analysis and Asset Pricing for Affine Jump-diffusions
对仿射跳跃扩散状态过程的一类变换（包括拉普拉斯和傅里叶变换）进行解析处理，从而解析处理一系列估值和计量问题，示例包括固定收益定价和期权定价，并说明随机波动率和跳跃对期权微笑的影响。
In the setting of 'affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensity-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both jump amplitude as well as jump timing.