3 citations · 7 across the 11 of their papers we have counts for
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q-fin.MF2017★ 2 cited
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…
q-fin.MF2017
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…
q-fin.MF2017
General Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk
In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the…