CDS pricing with fractional Hawkes processes
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Publication:2060433
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Cited in
(11)- Introducing fuzziness in CDS pricing under a structural model
- 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
- Sato processes in default modelling
- A subdiffusive stochastic volatility jump model
- A recursive method for fractional Hawkes intensities and the potential approach of credit risk
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Second-order regular variation and second-order approximation of Hawkes processes
- A general valuation framework for rough stochastic local volatility models and applications
- Multi-kernel property in high-frequency price dynamics under Hawkes model
- Credit default swap pricing with counterparty risk in a reduced form model with Hawkes process
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