CDS pricing with fractional Hawkes processes
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Publication:2060433
DOI10.1016/j.ejor.2021.06.045zbMath1490.91237OpenAlexW3176005860MaRDI QIDQ2060433
John-John Ketelbuters, Donatien Hainaut
Publication date: 13 December 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A244427/datastream/PDF_01/view
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40) Fractional partial differential equations (35R11)
Related Items (3)
Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ A subdiffusive stochastic volatility jump model ⋮ A fractional Hawkes process. II: Further characterization of the process
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