Clustered Lévy processes and their financial applications

DOI10.1016/J.CAM.2016.12.040MaRDI QIDQ515759zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Hawkes processsubordinationtime-changed processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1940288 (Why is no real title available?)
• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
• scientific article; zbMATH DE number 3378360 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A cluster process representation of a self-exciting process
• A jump-diffusion model for option pricing
• A model for interest rates with clustering effects
• Affine point processes and portfolio credit risk
• An intensity model for credit risk with switching Lévy processes
• Credit risk modeling using time-changed Brownian motion
• Estimating value-at-risk: a point process approach
• Financial Modelling with Jump Processes
• Impact of volatility clustering on equity indexed annuities
• Lévy Processes and Stochastic Calculus
• Modelling Financial High Frequency Data Using Point Processes
• Modelling microstructure noise with mutually exciting point processes
• Multivariate Hawkes processes: an application to financial data
• Mutual excitation in Eurozone sovereign CDS
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
• Processes of normal inverse Gaussian type
• Spectra of some self-exciting and mutually exciting point processes
• Stochastic Volatility for Lévy Processes
• Time changes for Lévy processes
• Variance swaps on time-changed Lévy processes

Cited in

(9)

• Time-consistent evaluation of credit risk with contagion
• Regulating stochastic clocks§
• A switching microstructure model for stock prices
• CBI-time-changed Lévy processes
• Interbank credit risk modeling with self-exciting jump processes
• Integrating Volatility Clustering Into Exponential Lévy Models
• Quantile clocks
• Fractional Hawkes processes
• Option pricing under stochastic volatility models with latent volatility

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