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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; … - In: Mathematics and financial economics 15 (2021) 4, pp. 747-773
Persistent link: https://www.econbiz.de/10012616856
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Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Brachetta, Matteo; Callegaro, Giorgia; Ceci, Claudia; … - In: Finance and stochastics 28 (2024) 2, pp. 453-495
Persistent link: https://www.econbiz.de/10015130335
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Sensitivity analysis for marked Hawkes processes : application to CLO pricing
Bernis, Guillaume; Salhi, Kaouther; Scotti, Simone - In: Mathematics and financial economics 12 (2018) 4, pp. 541-559
Persistent link: https://www.econbiz.de/10011963880
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The rough Hawkes Heston stochastic volatility model
Bondi, Alessandro; Pulido, Sergio; Scotti, Simone - In: Mathematical finance : an international journal of … 34 (2024) 4, pp. 1197-1241
Persistent link: https://www.econbiz.de/10015149382
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Asian options pricing in Hawkes-type jump-diffusion models
Brignone, Riccardo; Sgarra, Carlo - In: Annals of finance 16 (2020) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10012495966
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Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging
Gonzato, Luca; Sgarra, Carlo - In: Energy economics 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012939406