Exact simulation of Hawkes process with exponentially decaying intensity

DOI10.1214/ECP.V18-2717zbMATH Open1320.60115WikidataQ105584364 ScholiaQ105584364MaRDI QIDQ743034FDOQ743034

Authors: Angelos Dassios, Hongbiao Zhao 

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

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zbMATH Keywords

Monte Carlo simulationexact simulationHawkes processescontagion riskself-exciting point processstochastic intensity model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Sample path properties (60G17)

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• A self-exciting modeling framework for forward prices in power markets
• A fractional Hawkes process. II: Further characterization of the process
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