Stochastic Volatility + Jumps: The Mixing Approach

  • 01 Mar 2002
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This article introduces mixing theorems, a theoretical and computational approach to certain advanced option models. To begin, the Black-Scholes-Merton family of models is a well-known and sensible starting framework for understanding option prices. The framework relies on the assumption that the underlying stock price (or security price) follows a process known as geometric Brownian motion (GBM). This model has some very strong points in its favor: (i) it's consistent with stocks as limited liability securities and so the prices never fall below zero, (ii) it has uncorrelated returns, which have strong statistical support over many time scales, and (iii) it's very tractable computationally.

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  • 01 Mar 2002

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 29,333.03 101 7.94%
2 JPMorgan 27,208.83 91 7.37%
3 Barclays 23,714.00 55 6.42%
4 Bank of America Merrill Lynch 20,332.10 65 5.50%
5 Goldman Sachs 20,005.21 49 5.42%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Mizuho 299.85 1 21.73%
1 ING 299.85 1 21.73%
1 Commerzbank Group 299.85 1 21.73%
1 BNP Paribas 299.85 1 21.73%
5 UBS 60.22 1 4.36%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Goldman Sachs 1,607.28 5 23.03%
2 Credit Suisse 1,301.65 4 18.65%
3 UBS 970.80 3 13.91%
4 BNP Paribas 522.35 4 7.49%
5 SG Corporate & Investment Banking 444.17 3 6.37%