A mutually exciting rough jump-diffusion for financial modelling
From MaRDI portal
Publication:6495741
DOI10.1007/s13540-023-00234-4MaRDI QIDQ6495741
Publication date: 2 May 2024
Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)
Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Generalized stochastic processes (60G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
This page was built for publication: A mutually exciting rough jump-diffusion for financial modelling
