Portfolio optimization with jump-diffusions: estimation of time-dependent parameters and application

Treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market in one phase and then applying the resulting model to a stochastic optimal portfolio application in a second phase. The new developments are the use of uniform jump-amplitude distributions and time-varying market parameters, introducing more realism into the application model, a log-normal-diffusion, log-uniform-jump model.