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Computational Methods for Jump Processes

From Monday 7th of July 2014 (lunch time) to Wednesday 9th of July (afternoon).

Diffusion and jump diffusion models are used to describe a large variety of stochastic phenomena in both natural and social sciences from finance and credit risk to neurobiology and chemistry. However, designing efficient inference and simulation procedures for diffusions and jump diffusions is a very challenging task. Some elementary properties of these models, such as transition probabilities, are not available in closed form. Consequently, exact simulation of diffusion trajectories and diffusion bridges is highly nontrivial. Models that account for jumps add another layer of complication.

The aim of this workshop is to highlight the recent advances in the estimation and the simulation of jump diffusions. All aspects of inference for stochastic processes will be considered:

  • Series approximation based methods.
  • Spectral/generator based simulation and estimation methods for jump processes.
  • Perfect simulation of jump processes.
  • Sequential Monte Carlo methods.

Plenary speakers

Yacine Aït-Sahalia
Denis Belomestny
Zhiyi Chi
Noufel Frikha
Jean Jacod
Arturo Kohatsu-Higa
Per Mykland
Gareth Roberts
Almut Veraart
Matija Vidmar


Abstract submission
(Abstract submission is now closed)


(Registration is now closed. Only CRISM members can still indicate their attendece.)

Travel and visiting info

If you have any questions, please email Sylvain Le Corff:

sylvain dot lecorff at gmail dot com

This workshop is supported by CRiSM.


The meeting organisers are:
Gareth Roberts
Omiros Papaspiliopoulos
Petros Dellaportas
Aleksandar Mijatović
Krzysztof Łatuszyński
Sylvain Le Corff