Calibration of a Jump Diffusion

This paper outlines an application of a weighted Monte Carlo method to a jump diffusion model in the presence of clustering and runs suggestive of contagion. The paper was originally submitted as a master's thesis in the Mathematics in Finance program at the Courant Institute of Mathematical Sciences, New York University, on March 15, 2003. The author wishes to make the material available to a wider audience. Explanatory material has been added to make the paper easier to read. The mathematics is unchanged.

Keywords: Monte Carlo Method, jump diffusions