CDS pricing with fractional Hawkes processes
type: Item
instance of: scholarly article
title: CDS pricing with fractional Hawkes processes
zbMATH Open document ID: 1490.91237
author: John-John Ketelbuters
author: Donatien Hainaut
published in: European Journal of Operational Research
publication date: 2021-12-13T00:00:00Z
full work available at URL: view
Mathematics Subject Classification ID: 91G50
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7442960
zbMATH Keywords: finance
zbMATH Keywords: credit risk
zbMATH Keywords: Caputo derivatives
zbMATH Keywords: self-exciting processes
MaRDI profile type: Publication
OpenAlex ID: W3176005860
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DOI: 10.1016/J.EJOR.2021.06.045
description: scientific article; zbMATH DE number 7442960