A model for interest rates with clustering effects

DOI10.1080/14697688.2015.1135251zbMath1400.91630OpenAlexW2326091577MaRDI QIDQ4554210

Donatien Hainaut

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://hal-rennes-sb.archives-ouvertes.fr/hal-01393994/document

zbMATH Keywords

interest ratesyield curveHawkes processself-exciting process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Impact of volatility clustering on equity indexed annuities ⋮ Constant proportion portfolio insurance strategies in contagious markets ⋮ Bond and option pricing for interest rate model with clustering effects ⋮ Contagion modeling between the financial and insurance markets with time changed processes ⋮ A BSDE approach for bond pricing under interest rate models with self-exciting jumps ⋮ Sensitivity analysis for marked Hawkes processes: application to CLO pricing ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ Clustering Effects via Hawkes Processes ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES ⋮ Clustered Lévy processes and their financial applications ⋮ A switching self-exciting jump diffusion process for stock prices ⋮ CDS pricing with fractional Hawkes processes ⋮ A switching microstructure model for stock prices ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk

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