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cs.LG2022
AIDA: Analytic Isolation and Distance-based Anomaly Detection Algorithm
Luis Antonio Souto Arias, Cornelis W. Oosterlee, Pasquale Cirillo
We combine the metrics of distance and isolation to develop the Analytic Isolation and Distance-based Anomaly (AIDA) detection algorithm. AIDA is the first distance-based method th…
q-fin.PR2022★ 3 cited
A new self-exciting jump-diffusion process for option pricing
Luis A. Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee
We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process…