A switching self-exciting jump diffusion process for stock prices
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Publication:2000696
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Cited in
(13)- 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
- A switching microstructure model for stock prices
- 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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