Pages that link to "Item:Q3055867"
From MaRDI portal
The following pages link to Affine Point Processes and Portfolio Credit Risk (Q3055867):
Displaying 50 items.
- Direct Likelihood Evaluation for the Renewal Hawkes Process (Q109684) (← links)
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
- Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework (Q346621) (← links)
- Mutual excitation in Eurozone sovereign CDS (Q473225) (← links)
- Latent self-exciting point process model for spatial-temporal networks (Q478267) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Limit theorems for inverse process \(T_n\) of Hawkes process (Q520408) (← links)
- Case-cohort analysis of clusters of recurrent events (Q746520) (← links)
- Limit theorems for Markovian Hawkes processes with a large initial intensity (Q1615912) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching (Q1655762) (← links)
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm (Q1660145) (← links)
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394) (← links)
- Moderate deviations for marked Hawkes processes (Q1682738) (← links)
- Large deviations and applications for Markovian Hawkes processes with a large initial intensity (Q1708987) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- Self-exciting jump processes with applications to energy markets (Q1744711) (← links)
- Limit theorems for non-Markovian marked dynamic contagion processes (Q1748333) (← links)
- A Markov modulated dynamic contagion process with application to credit risk (Q2000733) (← links)
- Asymptotics for Hawkes processes with large and small baseline intensities (Q2002515) (← links)
- A bivariate shot noise self-exciting process for insurance (Q2015619) (← links)
- Pricing power exchange options with Hawkes jump diffusion processes (Q2031319) (← links)
- CDS pricing with fractional Hawkes processes (Q2060433) (← links)
- Transient analysis of an affine queue-Hawkes process (Q2060556) (← links)
- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering (Q2086919) (← links)
- Pricing insurance premia: a top down approach (Q2151652) (← links)
- Moments for Hawkes processes with gamma decay kernel functions (Q2157395) (← links)
- Pricing and hedging foreign equity options under Hawkes jump-diffusion processes (Q2164552) (← links)
- Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests (Q2166070) (← links)
- Infinite-server systems with Hawkes arrivals and Hawkes services (Q2167922) (← links)
- Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
- Precise deviations for Hawkes processes (Q2214245) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
- Recursive computation of the Hawkes cumulants (Q2244575) (← links)
- Limit theorems for an inverse Markovian Hawkes process (Q2273737) (← links)
- A switching microstructure model for stock prices (Q2312402) (← links)
- Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues (Q2315066) (← links)
- Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
- Limit theorems for discrete Hawkes processes (Q2344892) (← links)
- Alpha-CIR model with branching processes in sovereign interest rate modeling (Q2364536) (← links)
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors (Q2374124) (← links)
- Limit theorems for the compensator of Hawkes processes (Q2406794) (← links)
- Modeling multivariate extreme events using self-exciting point processes (Q2511798) (← links)
- Pricing default events: surprise, exogeneity and contagion (Q2511807) (← links)
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment (Q2665846) (← links)
- Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (Q2813080) (← links)
- Closed-form likelihood estimation for one type of affine point processes (Q2830794) (← links)
