Efficient Simulation of Lévy-driven Point Processes


We introduce a new family of Lévy-driven point processes by generalising the classical self-exciting Hawkes process and doubly stochastic Poisson processes with non-Gaussian Lévy-driven Ornstein-Uhlenbeck type intensities.... [ view full abstract ]


  1. Angelos Dassios (London School of Economics and Political Science)
  2. Yan Qu (London School of Economics and Political Science)
  3. HongBiao Zhao (Shanghai University of Finance and Economics)

Topic Areas

Computational Finance , Credit Jump Models , Simulation


MO-A-UI » Stochastic Differential Equations in Finance: Simulation, Estimation and Approximation (11:30 - Monday, 16th July, Ui Chadhain)

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