CDS pricing with fractional Hawkes processes
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Publication:2060433
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Cites work
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- scientific article; zbMATH DE number 5035864 (Why is no real title available?)
- scientific article; zbMATH DE number 3378360 (Why is no real title available?)
- A cluster process representation of a self-exciting process
- A dynamic program for valuing corporate securities
- A model for interest rates with clustering effects
- A new approach for solving a system of fractional partial differential equations
- A practical finite difference method for the three-dimensional Black-Scholes equation
- Adomian's decomposition method for solving an intermediate fractional advection-dispersion equation
- Affine point processes and portfolio credit risk
- An intensity model for credit risk with switching Lévy processes
- Analytical modelling of fractional advection-dispersion equation defined in a bounded space domain
- Black-Scholes formula in subdiffusive regime
- Correlation structure of fractional Pearson diffusions
- Credit risk analysis of mortgage loans: An application to the Italian market
- Credit risk: Modelling, valuation and hedging
- Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
- Fractional Hawkes processes
- Fractional Pearson diffusions
- Haar wavelet method for solving fractional partial differential equations numerically
- Implicit finite difference approximation for time fractional diffusion equations
- Integrated structural approach to credit value adjustment
- Mathematical methods for financial markets.
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- Option pricing with mean reversion and stochastic volatility
- PDE methods for pricing barrier options
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- Solving linear and nonlinear fractional diffusion and wave equations by Adomian decomposition
- Spatial gliding, temporal trapping, and anomalous transport
- Spectra of some self-exciting and mutually exciting point processes
- Spectral regularization method for a Cauchy problem of the time fractional advection-dispersion equation
- Stochastic representation of subdiffusion processes with time-dependent drift
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- The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
- The variational iteration method: an efficient scheme for handling fractional partial differential equations in fluid mechanics
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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