Clustered Lévy processes and their financial applications
type: Item
instance of: scholarly article
title: Clustered Lévy processes and their financial applications
zbMATH Open document ID: 1358.60062
author: Donatien Hainaut
published in: Journal of Computational and Applied Mathematics
publication date: 2017-03-16T00:00:00Z
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6695725
zbMATH Keywords: subordination
zbMATH Keywords: Lévy process
zbMATH Keywords: Hawkes process
zbMATH Keywords: time-changed process
MaRDI profile type: Publication
full work available at URL: j.cam.2016.12.040
OpenAlex ID: W2562973937
cites work: Time changes for Lévy processes
cites work: Processes of normal inverse Gaussian type
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Stochastic Volatility for Lévy Processes
cites work: Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
cites work: Variance swaps on time-changed Lévy processes
cites work: CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
cites work: Mutual excitation in Eurozone sovereign CDS
cites work: Multivariate Hawkes processes: an application to financial data
cites work: Estimating value-at-risk: a point process approach
cites work: Q5649230
cites work: Spectra of some self-exciting and mutually exciting point processes
cites work: A cluster process representation of a self-exciting process
cites work: Modelling Financial High Frequency Data Using Point Processes
cites work: Modelling microstructure noise with mutually exciting point processes
cites work: A model for interest rates with clustering effects
cites work: Impact of volatility clustering on equity indexed annuities
cites work: Affine Point Processes and Portfolio Credit Risk
cites work: Q4406669
cites work: A Jump-Diffusion Model for Option Pricing
cites work: Financial Modelling with Jump Processes
cites work: Lévy Processes and Stochastic Calculus
cites work: Q4486401
cites work: An intensity model for credit risk with switching Lévy processes
DOI: 10.1016/J.CAM.2016.12.040
Recommended article: Q3083935
Recommended article: Q4486401
Recommended article: Q2716350
Recommended article: Q4544440
Recommended article: Stochastic volatility models with possible extremal clustering
Recommended article: Q2738733
Recommended article: Q5054877
Recommended article: Q5292403
Recommended article: Malliavin Calculus for Lévy Processes with Applications to Finance
Recommended article: Diffusion approximation of Lévy processes with a view towards finance
description: scientific article; zbMATH DE number 6695725