Clustered Lévy processes and their financial applications
DOI10.1016/J.CAM.2016.12.040zbMATH Open1358.60062OpenAlexW2562973937MaRDI QIDQ515759FDOQ515759
Authors: Donatien Hainaut 
Publication date: 16 March 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.12.040
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- A jump-diffusion model for option pricing
- Financial Modelling with Jump Processes
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Spectra of some self-exciting and mutually exciting point processes
- A cluster process representation of a self-exciting process
- Stochastic Volatility for Lévy Processes
- Title not available (Why is that?)
- Affine point processes and portfolio credit risk
- Multivariate Hawkes processes: an application to financial data
- Estimating value-at-risk: a point process approach
- Processes of normal inverse Gaussian type
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
- Modelling Financial High Frequency Data Using Point Processes
- Lévy Processes and Stochastic Calculus
- Modelling microstructure noise with mutually exciting point processes
- Credit risk modeling using time-changed Brownian motion
- Title not available (Why is that?)
- Variance swaps on time-changed Lévy processes
- Mutual excitation in Eurozone sovereign CDS
- Title not available (Why is that?)
- Time changes for Lévy processes
- Impact of volatility clustering on equity indexed annuities
- A model for interest rates with clustering effects
- An intensity model for credit risk with switching Lévy processes
Cited In (9)
- Fractional Hawkes processes
- Regulating stochastic clocks§
- Integrating Volatility Clustering Into Exponential Lévy Models
- Interbank credit risk modeling with self-exciting jump processes
- Option pricing under stochastic volatility models with latent volatility
- Time-consistent evaluation of credit risk with contagion
- A switching microstructure model for stock prices
- Quantile clocks
- CBI-time-changed Lévy processes
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