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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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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