CDS pricing with fractional Hawkes processes-Reference-Cited by-同舟云学术

CDS pricing with fractional Hawkes processes

Published:2022-03 Issue:3 Volume:297 Page:1139-1150
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Ketelbuters John-John,Hainaut Donatien

Funder

Fonds De La Recherche Scientifique - FNRS

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference53 articles.

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4. From continuous time random walks to the fractional Fokker–Planck equation;Barkai;Physical Review E,2000

5. Credit risk: Modeling, valuation and hedging;Bielecki,2002

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