Pages that link to "Item:Q743034"
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The following pages link to Exact simulation of Hawkes process with exponentially decaying intensity (Q743034):
Displaying 36 items.
- Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Large deviations and applications for Markovian Hawkes processes with a large initial intensity (Q1708987) (← links)
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process (Q2023465) (← links)
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering (Q2086919) (← links)
- Fractional Hawkes processes (Q2164927) (← links)
- Infinite-server systems with Hawkes arrivals and Hawkes services (Q2167922) (← links)
- Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
- Analysis and control of epidemics in temporal networks with self-excitement and behavioral changes (Q2198741) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Infinitely stochastic micro reserving (Q2234749) (← links)
- Approximate filtering of conditional intensity process for Poisson count data: application to urban crime (Q2291294) (← links)
- Approximate simulation of Hawkes processes (Q2433253) (← links)
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market (Q2665873) (← links)
- Construction and simulation of generalized multivariate Hawkes processes (Q2684947) (← links)
- Exact simulation of point processes with stochastic intensities (Q2879519) (← links)
- Performance of information criteria for selection of Hawkes process models of financial data (Q4554419) (← links)
- Modeling Memory Effects in Activity-Driven Networks (Q4562428) (← links)
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193) (← links)
- Modelling social media contagion using Hawkes processes (Q5064477) (← links)
- Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals (Q5084490) (← links)
- Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations (Q5139214) (← links)
- Diffusion approximation of multi-class Hawkes processes: Theoretical and numerical analysis (Q5156802) (← links)
- Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
- Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels (Q5881047) (← links)
- Interest Rates Term Structure Models Driven by Hawkes Processes (Q6070672) (← links)
- Efficient Simulation of Sparse Graphs of Point Processes (Q6108734) (← links)
- Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms (Q6148888) (← links)
- Bootstrap inference for Hawkes and general point processes (Q6163273) (← links)
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data (Q6549590) (← links)
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (Q6549599) (← links)
- A self-exciting modeling framework for forward prices in power markets (Q6580688) (← links)
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing (Q6610445) (← links)
- Multivariate Hawkes process allowing for common shocks (Q6650757) (← links)
