A mutually exciting rough jump-diffusion for financial modelling
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Analysis
Link
https://link.springer.com/content/pdf/10.1007/s13540-023-00234-4.pdf
Reference39 articles.
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3. Aït-Sahalia, Jacod J.: From tick data to semimartingales. Annal. Appl. Probab. 30(6), 2740–2768 (2020)
4. Bacry, E., Delattre, S., Hoffmann, M., Muzy, J.F.: Modelling microstructure noise with mutually exciting point processes. Quant. Finance 13(1), 65–67 (2013)
5. Bäuerle, N., Desmettre, S.: Portfolio optimization in fractional and rough Heston model. SIAM J. Financ. Math. 11(1), 240–273 (2020)
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