Sensitivity analysis for marked Hawkes processes: application to CLO pricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s11579-018-0215-6/fulltext.html
Reference27 articles.
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2. Hawkes, A.G., Oakes, D.: A cluster process representation of a self-exciting point process. J. Appl. Probab. 11(3), 495–503 (1974)
3. Filimonov, V., Sornette, D.: Apparent criticality and calibration issues in the hawkes self-excited point process model: application to high-frequency financial data. Quant. Finance 15(8), 1293–1314 (2015)
4. Ait-Sahalia, Y., Yu, J.: High frequency market microstructure noise estimates and liquidity measures. Ann. Appl. Stat. 3(1), 422–457 (2009). 03
5. Donatien, H.: A model for interest rates with clustering effects. Quant. Finance 16(8), 1203–1218 (2016)
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