12 citations · 32 across the 31 of their papers we have counts for
4 papers · 1 filter
Compound Multivariate Hawkes Processes: Large Deviations and Rare Event Simulation
Raviar S. Karim, Roger J. A. Laeven, Michel R. H. Mandjes
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing…
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation
H. Peter Boswijk, Roger J. A. Laeven, Evgenii Vladimirov
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison betwee…
Quasi-Logconvex Measures of Risk
Roger J. A. Laeven, Emanuela Rosazza Gianin
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Q…
Large deviations asymptotics for unbounded additive functionals of diffusion processes
Mihail Bazhba, Jose Blanchet, Roger J. A. Laeven +1
We study large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-li…