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CDS Pricing with Fractional Hawkes Processes. (2021). Hainaut, Donatien ; Ketelbuters, John John.
In: LIDAM Discussion Papers ISBA.
RePEc:aiz:louvad:2021018.

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  1. [1] Ait-Sahalia, Y., Cacho-Diaz, J., Laeven, R.J.A., 2015. Modeling Financial Contagion using Mutually Exciting Jump Processes. Journal of Financial Economics, 117(3), 586-606.

  2. [2] Ayadi, M., Ben-Ameur, H., Fakhfakh, T., 2016. A Dynamic Program for Valuing Corporate Securities. European Journal of Operational Research, 249, 751-770.

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  3. CDS Pricing with Fractional Hawkes Processes. (2021). Hainaut, Donatien ; Ketelbuters, John John.
    In: LIDAM Discussion Papers ISBA.
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