Interest Rates Term Structure Models Driven by Hawkes Processes

DOI10.1137/22m1502604zbMath1530.91580OpenAlexW4387705181MaRDI QIDQ6070672

Guillaume Bernis, Carlo Sgarra, Matthieu Garcin, Simone Scotti

Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/22m1502604

zbMATH Keywords

Heath-Jarrow-Morton modelHawkes processesswaptionsforward ratesjumps clusteringcapletsfloorlets

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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