3 papers
q-fin.MF2024
Option Pricing with a Compound CARMA(p,q)-Hawkes
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model general…
q-fin.TR2023
Investigating Short-Term Dynamics in Green Bond Markets
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory…
q-fin.ST2022
A Hawkes model with CARMA(p,q) intensity
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation fu…