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math.PR2025
Efficient Simulation of Hawkes Processes using their Affine Volterra Structure
Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov
We introduce a novel and efficient simulation scheme for Hawkes processes on a fixed time grid, leveraging their affine Volterra structure. The key idea is to first simulate the in…
math.PR2025
Exponentially Fading Memory Signature
Eduardo Abi Jaber, Dimitri Sotnikov
We introduce the exponentially fading memory (EFM) signature, a time-invariant transformation of an infinite (possibly rough) path that serves as a mean-reverting analogue of the c…
math.PR2007★ 29 cited
When are Swing options bang-bang and how to use it
Olivier Aj Bardou, Sandrine Bouthemy, Gilles Pagès
In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the prem…