Limit theorems for Hull-White model with Hawkes jumps
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Publication:6404152
arXiv2207.02622MaRDI QIDQ6404152FDOQ6404152
Authors: Yingli Wang, Ping He 
Publication date: 6 July 2022
Abstract: In the present paper, we obtain limit theorems for a catogary of Hull-White models with Hawkes jumps including law of large numbers, central limit theorem, and large deviations. In the field of interest rate modeling, it is meaningful in characterizing a long-term rate of return.
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