activity
20152023
most citedFast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient

1 citations · 1 across the 4 of their papers we have counts for

collaborators
Showing math.PRShow all

1 paper · 1 filter

math.PR2015

Population viewpoint on Hawkes processes

Alexandre Boumezoued

This paper focuses on a class of linear Hawkes processes with general immigrants. These are counting processes with shot noise intensity, including self-excited and externally exci…