Clustered Lévy processes and their financial applications

Published 2017 View Full Article

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Title
Clustered Lévy processes and their financial applications
Authors
Keywords
Subordination, Lévy process, Hawkes process, Time-changed process
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 319, Issue -, Pages 117-140
Publisher
Elsevier BV
Online
2017-01-16
DOI
10.1016/j.cam.2016.12.040

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