3 citations · 7 across the 11 of their papers we have counts for
7 papers · 1 filter
Variance-Hawkes Process and its Application to Energy Markets
Joshua McGillivray, Anatoliy Swishchuk
We define a new model using a Hawkes process as a subordinator in a standard Brownian motion. We demonstrate that this Hawkes subordinated Brownian motion or more succinctly, varia…
Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models
Luca Lalor, Anatoliy Swishchuk
This paper introduces a jump-diffusion pricing model specifically designed for algorithmic trading and high-frequency trading (HFT). The model incorporates independent jump and dif…
Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing
Qi Guo, Anatoliy Swishchuk, Bruno Rémillard
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivar…
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…
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…
Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models
Anatoliy Swishchuk, Zijia Wang
In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in…