The aim of this paper is to develop a multi-asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead-lag relationship as well as the correlation between the stocks within this framework. Thanks to its strong analytical tractability...

This paper provides explicit formulas for the first and second moments and the autocorrelation function of the number of jumps over a given interval for the multivariate Hawkes process. These computations are possible thanks to the affine property of this process. We unify the stock price models...

This paper provides explicit formulas for the moments and the autocorrelation function of the number of jumps over a given interval for the Hawkes process. These computations are possible thanks to the affine property of this process. Using these quantities an implementation of the method of...

Local risk minimization is studied for the hedging of derivatives - a general (non quadratic) risk criterion is studied, and the optimality conditions are derived.

The normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.

Credit risk - more specifically, default risk - is introduced in various classical models for option pricing. The consequences of this new parameter in terms of model calibration is studied.

This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words "Economics" and "Physics", this new interdisciplinary field has grown in various directions: theoretical macroeconomics...