Shot-Noise Processes in Finance

DOI10.1007/978-3-319-50986-0_18zbMath1383.62253arXiv1612.06616OpenAlexW2581113742MaRDI QIDQ4609026

Thorsten Schmidt

Publication date: 29 March 2018

Published in: From Statistics to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.06616

zbMATH Keywords

shot-noise processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Generalized Cox model for default times ⋮ Statistical inference on stationary shot noise random fields ⋮ Properties of strictly $\varphi $-sub-Gaussian quasi-shot-noise processes ⋮ Shot-noise queueing models

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