Hedging and utility valuation of a defaultable claim driven by Hawkes processes

Applied Stochastic Models in Business and Industry ◽

10.1002/asmb.2663 ◽

2021 ◽

Author(s):

Puneet Pasricha ◽

Dharmaraja Selvamuthu ◽

Paola Tardelli

Keyword(s):

Hawkes Processes

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Sensitivity Analysis for Marked Hawkes Processes - Application to CLO Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.2989193 ◽

2017 ◽

Author(s):

Guillaume Bernis ◽

Kaouther Salhi ◽

Simone Scotti

Keyword(s):

Sensitivity Analysis ◽

Hawkes Processes

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Supplementary Materials for 'Score Test for Marks in Hawkes Processes'

SSRN Electronic Journal ◽

10.2139/ssrn.3531285 ◽

2019 ◽

Author(s):

Kylie-Anne Richards ◽

William Dunsmuir ◽

Gareth W. Peters

Keyword(s):

Hawkes Processes

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Price impact of large orders using Hawkes processes

ANZIAM Journal ◽

10.21914/anziamj.v61i0.12912 ◽

2019 ◽

Vol 61 ◽

pp. 161

Author(s):

Lucas Amaral ◽

Andrew Papanicolaou

Keyword(s):

Price Impact ◽

Hawkes Processes

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Hawkes processes in insurance: Risk model, application to empirical data and optimal investment

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2020.12.005 ◽

2021 ◽

Author(s):

Anatoliy Swishchuk ◽

Rudi Zagst ◽

Gabriela Zeller

Keyword(s):

Empirical Data ◽

Optimal Investment ◽

Insurance Risk ◽

Model Application ◽

Hawkes Processes ◽

Insurance Risk Model

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Switched Hawkes Processes

ICASSP 2021 - 2021 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) ◽

10.1109/icassp39728.2021.9413812 ◽

2021 ◽

Author(s):

Namrata Nadagouda ◽

Mark A. Davenport

Keyword(s):

Hawkes Processes

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Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction

Annals of the Institute of Statistical Mathematics ◽

10.1007/s10463-020-00780-1 ◽

2021 ◽

Author(s):

Baichuan Yuan ◽

Frederic P. Schoenberg ◽

Andrea L. Bertozzi

Keyword(s):

Network Reconstruction ◽

Hawkes Processes ◽

Fast Estimation

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Modeling Sparse Information Diffusion at Scale via Lazy Multivariate Hawkes Processes

Proceedings of the Web Conference 2021 ◽

10.1145/3442381.3450094 ◽

2021 ◽

Author(s):

Maximilian Nickel ◽

Matthew Le

Keyword(s):

Information Diffusion ◽

Hawkes Processes

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Asymptotic distribution of the score test for detecting marks in hawkes processes

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-021-09245-5 ◽

2021 ◽

Author(s):

Simon Clinet ◽

William T. M. Dunsmuir ◽

Gareth W. Peters ◽

Kylie-Anne Richards

Keyword(s):

Asymptotic Distribution ◽

Hawkes Processes

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A framework for information dissemination in social networks using Hawkes processes

Performance Evaluation ◽

10.1016/j.peva.2016.06.004 ◽

2016 ◽

Vol 103 ◽

pp. 86-107 ◽

Author(s):

J.C. Louzada Pinto ◽

T. Chahed ◽

E. Altman

Keyword(s):

Social Networks ◽

Information Dissemination ◽

Hawkes Processes

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Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition

Statistics & Probability Letters ◽

10.1016/j.spl.2021.109214 ◽

2021 ◽

pp. 109214

Author(s):

Anna Bonnet ◽

Miguel Martinez Herrera ◽

Maxime Sangnier

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Hawkes Processes

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