2 citations · 3 across the 5 of their papers we have counts for
5 papers
Multivariate General Compound Point Processes in Limit Order Books
Qi Guo, Bruno Remillard, Anatoliy Swishchuk
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MG…
On the monotonicity of copula-based conditional distributions
Bouchra R. Nasri, Bruno N. Remillard
In this paper, we find necessary and sufficient conditions so that copula-based conditional distributions of a response variable with respect to covariates, are ordered with respec…
Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk, Bruno Remillard, Robert Elliott +1
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove La…
Optimal hedging in discrete time
Bruno Rémillard, Sylvain Rubenthaler
Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In pa…
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
Chantal Labbé, Bruno Rémillard, Jean-François Renaud
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale pr…