Bond and option pricing for interest rate model with clustering effects
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Cites work
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- A model for interest rates with clustering effects
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- Affine point processes and portfolio credit risk
- Affine processes and applications in finance
- Alpha-CIR model with branching processes in sovereign interest rate modeling
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- Bond Market Structure in the Presence of Marked Point Processes
- Equilibrium approach of asset pricing under Lévy process
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- Exact solutions for bond and option prices with systematic jump risk
- How news affects the trading behaviour of different categories of investors in a financial market
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- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Mean-field inference of Hawkes point processes
- Point processes and queues. Martingale dynamics
- Pricing interest-rate-derivative securities
- Skew convolution semigroups and affine Markov processes
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- Term structure models driven by Wiener processes and Poisson measures: existence and positivity
- Term-structure models. A graduate course
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Cited in
(8)- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- A model for interest rates with clustering effects
- Mean-variance portfolio selection in contagious markets
- A BSDE approach for bond pricing under interest rate models with self-exciting jumps
- Pricing of interest rate derivatives based on affine jump diffusion model
- Interest Rates Term Structure Models Driven by Hawkes Processes
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