Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Bruno Remillard"'
Publikováno v:
Risks, Vol 8, Iss 3, p 98 (2020)
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 (MGCPP). Namely, we applied a multivariate point process to model the ord
Externí odkaz:
https://doaj.org/article/9020cddf81a1420ea2e4e01b1a93b607
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 multivariable general compound Hawkes process. Exponential multivariate genera
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::86a2802ed4269705d08c760497f32d19
http://arxiv.org/abs/2209.07621
http://arxiv.org/abs/2209.07621
Autor:
Bruno Remillard
Publikováno v:
Statistical Methods for Financial Engineering ISBN: 9780429063305
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b940d3b910afbc30af849632b9f265b9
https://doi.org/10.1201/b14285-10
https://doi.org/10.1201/b14285-10
Autor:
Bruno Remillard
While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering
Publikováno v:
Statistics in Action: A Canadian Outlook
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::628bfa9ada330b249aabca73ba88730e
https://doi.org/10.1201/b16597
https://doi.org/10.1201/b16597
Autor:
Bruno Remillard
Publikováno v:
Statistical Methods for Financial Engineering
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::68908bc353906971f6cc440af8a7ae77
https://doi.org/10.1201/b14285-2
https://doi.org/10.1201/b14285-2