Clustered Lévy processes and their financial applications

DOI10.1016/j.cam.2016.12.040zbMath1358.60062OpenAlexW2562973937MaRDI QIDQ515759

Donatien Hainaut

Publication date: 16 March 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.12.040

zbMATH Keywords

subordinationLévy processHawkes processtime-changed process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Fractional Hawkes processes ⋮ Time-consistent evaluation of credit risk with contagion ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES ⋮ A switching microstructure model for stock prices

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