A switching self-exciting jump diffusion process for stock prices
DOI10.1007/S10436-018-0340-5zbMATH Open1417.91502OpenAlexW2873961620WikidataQ129154284 ScholiaQ129154284MaRDI QIDQ2000696FDOQ2000696
Donatien Hainaut, Franck Moraux
Publication date: 28 June 2019
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-01909772/file/Hainaut_A%20switching%20self-exciting%20jump.pdf
Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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Cited In (12)
- Fractional Hawkes processes
- A self-exciting switching jump diffusion: properties, calibration and hitting time
- The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
- Valuation of annuity guarantees under a self-exciting switching jump model
- A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
- Stocks recommendation from large datasets using important company and economic indicators
- Time-consistent evaluation of credit risk with contagion
- Asian options pricing in Hawkes-type jump-diffusion models
- A mutually exciting rough jump-diffusion for financial modelling
- Affine Heston model style with self-exciting jumps and long memory
- Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics
- A self-exciting modeling framework for forward prices in power markets
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