Sensitivity analysis for marked Hawkes processes: application to CLO pricing

DOI10.1007/s11579-018-0215-6zbMath1396.91785OpenAlexW2699904585MaRDI QIDQ1670394

Kaouther Salhi, Guillaume Bernis, Simone Scotti

Publication date: 5 September 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-018-0215-6

zbMATH Keywords

sensitivity analysiscredit derivativesPoisson processesHawkes processeschange of probabilityself-exciting structure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Related Items (4)

Asian options pricing in Hawkes-type jump-diffusion models ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ Clustering Effects via Hawkes Processes ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process

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