3 citations · 3 across the 3 of their papers we have counts for
4 papers
Generalized Multivariate Hawkes Processes
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Nieweglowski
This work contributes to the theory and applications of Hawkes processes. We introduce and examine a new class of Hawkes processes that we call generalized Hawkes processes, and th…
Semimartingales and Shrinkage of Filtration
Tomasz R. Bielecki, Jacek Jakubowski, Monique Jeanblanc +1
We consider a complete probability space , which is endowed with two filtrations, and , assumed to satisfy the usual conditions…
On some Brownian functionals and their applications to moments in lognormal and Stein stochastic volatility models
Jacek Jakubowski, Maciej Wisniewolski
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a pro…
Defaultable bonds with an infinite number of Levy factors
Jacek Jakubowski, Mariusz Nieweglowski
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Levy factors is considered. Th…