6 citations · 14 across the 16 of their papers we have counts for
3 papers · 1 filter
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…
Student t-Lévy regression model in YUIMA
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
The aim of this paper is to discuss an estimation and a simulation method in the \textsf{R} package YUIMA for a linear regression model driven by a Student- Lévy process with co…
Simulation thinning algorithm for a CARMA(p,q)-Hawkes model
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We…