Structural credit risk modelling with Hawkes jump diffusion processes (Q269364): Difference between revisions

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+Asset-asset interactions and clustering in financial markets
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+Default clustering in large portfolios: typical events
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+Credit risk and contagion via self-exciting default intensity
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+Q4657105
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+LÉVY SIMPLE STRUCTURAL MODELS
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+CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
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+Spectra of some self-exciting and mutually exciting point processes
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+Multivariate Hawkes processes: an application to financial data
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+Option pricing when underlying stock returns are discontinuous
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+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
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+Perfect simulation of Hawkes processes
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+Approximate simulation of Hawkes processes
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+Exact simulation of Hawkes process with exponentially decaying intensity
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+On Lewis' simulation method for point processes
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