Interest Rates Term Structure Models Driven by Hawkes Processes

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters

(2023) Riccardo Brignone et al.   ANNALS OF OPERATIONS RESEARCH

Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment

(2022) Hidekazu Yoshioka et al.   OPTIMIZATION AND ENGINEERING

Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data

(2022) Iacopo Raffaelli et al.   ANNALS OF OPERATIONS RESEARCH

Cyber-contagion model with network structure applied to insurance

(2022) Caroline Hillairet et al.   INSURANCE MATHEMATICS & ECONOMICS

Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models

(2021) Caroline Hillairet et al.   Scandinavian Actuarial Journal

The Alpha‐Heston stochastic volatility model

(2021) Ying Jiao et al.   MATHEMATICAL FINANCE

A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process

(2021) Guillaume Bernis et al.   Mathematics and Financial Economics

A self‐exciting modeling framework for forward prices in power markets

(2021) Giorgia Callegaro et al.   APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging

(2021) Luca Gonzato et al.   ENERGY ECONOMICS

State-dependent Hawkes processes and their application to limit order book modelling

(2021) Maxime Morariu-Patrichi et al.   QUANTITATIVE FINANCE

Arbitrage-free Nelson–Siegel model for multiple yield curves

(2021) Riccardo Brignone et al.   Mathematics and Financial Economics

Sensitivity analysis for marked Hawkes processes: application to CLO pricing

(2018) Guillaume Bernis et al.   Mathematics and Financial Economics

Alpha-CIR model with branching processes in sovereign interest rate modeling

(2017) Ying Jiao et al.   FINANCE AND STOCHASTICS

Bond and option pricing for interest rate model with clustering effects

(2017) Xin Zhang et al.   QUANTITATIVE FINANCE

A model for interest rates with clustering effects

(2016) Donatien Hainaut   QUANTITATIVE FINANCE

Exact simulation of Hawkes process with exponentially decaying intensity

(2013) Angelos Dassios et al.   ELECTRONIC COMMUNICATIONS IN PROBABILITY

Affine Point Processes and Portfolio Credit Risk

(2011) Eymen Errais et al.   SIAM Journal on Financial Mathematics