Affine Heston model style with self-exciting jumps and long memory

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic models in economics (91B70)

Cites Work

The pricing of options and corporate liabilities
A Jump-Diffusion Model for Option Pricing
A theory of the term structure of interest rates
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
Title not available (Why is that?)
Empirical properties of asset returns: stylized facts and statistical issues
Note on the inversion theorem
On the exact computation of the density and of the quantiles of linear combinations of \(t\) and \(F\) random variables
Affine Point Processes and Portfolio Credit Risk
Affine processes and applications in finance
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Option pricing when underlying stock returns are discontinuous
Limit theorems for nearly unstable Hawkes processes
Affine fractional stochastic volatility models
Post-'87 crash fears in the S\&P 500 futures option market
Volatility is rough
Heterogeneous volatility cascade in financial markets
Geometric Asian option pricing in general affine stochastic volatility models with jumps
A switching self-exciting jump diffusion process for stock prices
Moment generating function of non-Markov self-excited claims processes
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Quadratic Hawkes processes for financial prices
Valuation of annuity guarantees under a self-exciting switching jump model
Processes for stocks capturing their statistical properties from one day to one year

This page was built for publication: Affine Heston model style with self-exciting jumps and long memory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6536770)