CDS pricing with fractional Hawkes processes
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Publication:2060433
DOI10.1016/J.EJOR.2021.06.045zbMATH Open1490.91237OpenAlexW3176005860MaRDI QIDQ2060433FDOQ2060433
Authors: John-John Ketelbuters, Donatien Hainaut 
Publication date: 13 December 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A244427/datastream/PDF_01/view
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Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Fractional partial differential equations (35R11)
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Cited In (7)
- Sato processes in default modelling
- A recursive method for fractional Hawkes intensities and the potential approach of credit risk
- A subdiffusive stochastic volatility jump model
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- A fractional Hawkes process. II: Further characterization of the process
- Introducing fuzziness in CDS pricing under a structural model
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