Sensitivity analysis for marked Hawkes processes: application to CLO pricing
type: Item
instance of: scholarly article
title: Sensitivity analysis for marked Hawkes processes: application to CLO pricing
zbMATH Open document ID: 1396.91785
author: Guillaume Bernis
author: Kaouther Salhi
author: Simone Scotti
published in: Mathematics and Financial Economics
publication date: 2018-09-05T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6932268
zbMATH Keywords: change of probability
zbMATH Keywords: credit derivatives
zbMATH Keywords: Poisson processes
zbMATH Keywords: Hawkes processes
zbMATH Keywords: self-exciting structure
zbMATH Keywords: sensitivity analysis
MaRDI profile type: Publication
full work available at URL: s11579-018-0215-6
OpenAlex ID: W2699904585
cites work: Q5649230
cites work: A cluster process representation of a self-exciting process
cites work: Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
cites work: High frequency market microstructure noise estimates and liquidity measures
cites work: A model for interest rates with clustering effects
cites work: Alpha-CIR model with branching processes in sovereign interest rate modeling
cites work: Imbedded construction of stationary sequences and point processes with a random memory
cites work: Hawkes model for price and trades high-frequency dynamics
cites work: Transform analysis for point processes and applications in credit risk
cites work: Affine Point Processes and Portfolio Credit Risk
cites work: A Top-Down Approach to Multiname Credit
cites work: Mark-to-model for cash CDOs through indifference pricing
cites work: Large-Scale Loan Portfolio Selection
cites work: Applications of Malliavin calculus to Monte Carlo methods in finance
cites work: Q4850018
cites work: The asymptotic behaviour of maximum likelihood estimators for stationary point processes
cites work: Optimal investment in markets with over and under-reaction to information
cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
DOI: 10.1007/S11579-018-0215-6
Wikidata QID: Q130110646
description: scientific article; zbMATH DE number 6932268