Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Riadh Zaatour"'
Autor:
José Da Fonseca, Riadh Zaatour
Publikováno v:
Journal of Futures Markets. 37:260-285
The aim of this paper is to develop a multi‐asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead–lag relationship as well as the correlation between the assets within this framework. W
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::272d47bbbbf1eaaf99f797831727ae3d
https://doi.org/10.1002/fut.21800
https://doi.org/10.1002/fut.21800
Autor:
José Da Fonseca, Riadh Zaatour
Publikováno v:
Journal of Futures Markets. 35:813-838
This paper provides explicit formulas for the rst and second moments and the autocorrelation function of the number of jumps over a given interval for the multivariate Hawkes process. These computations are possible thanks to the ane property of this
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::79c4fd2f353579e24d0397d59226076a
https://doi.org/10.1002/fut.21676
https://doi.org/10.1002/fut.21676
Publikováno v:
Journal of Mathematical Finance
Journal of Mathematical Finance, Scientific Research, 2017, 7 (3), pp.571-596. ⟨10.4236/jmf.2017.73030⟩
Journal of Mathematical Finance, Scientific Research, 2017, 7 (3), pp.571-596. ⟨10.4236/jmf.2017.73030⟩
Consistently fitting vanilla option surface is an important issue in derivative modelling. In this paper, we consider three different models: local and stochastic volatility, local correlation, hybrid local volatility with stochastic rates, and addre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5c1ba88c019fa23a440b482eacc85aa6
https://hal.archives-ouvertes.fr/hal-01399542
https://hal.archives-ouvertes.fr/hal-01399542
Publikováno v:
SITA
We are interested in a supervised learning method by automatic generation of classification rules: SUCRAGE. Premises construction is done by grouping the dependant attributes. This selection in one block of the features is realized by linear correlat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b24b05c7bff6726742dc1be1c0d93342
https://doi.org/10.1109/sita.2016.7772256
https://doi.org/10.1109/sita.2016.7772256
Autor:
Riadh Zaatour, Frédéric Abergel
Publikováno v:
Journal of Trading
Journal of Trading, 2012, 7 (3), pp.12-28. ⟨10.3905/jot.2012.7.3.012⟩
Journal of Trading, 2012, 7 (3), pp.12-28. ⟨10.3905/jot.2012.7.3.012⟩
International audience; We rely on high frequency data to explore the joint dynamics of underlying and option markets. In particular, high frequency data make observable the realized variance process of the underlying, so its effects on option price
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b17b85bf72febfc90db141f9b99a926e
https://doi.org/10.3905/jot.2012.7.3.012
https://doi.org/10.3905/jot.2012.7.3.012
Autor:
José Da Fonseca, Riadh Zaatour
Publikováno v:
SSRN Electronic Journal.
This paper provides explicit formulas for the first and second moments and the autocorrelation function of the number of jumps over a given interval for the multivariate Hawkes process. These computations are possible thanks to the affine property of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a305cf24e770c2262e1e870bf8f7b8a
https://doi.org/10.2139/ssrn.2427145
https://doi.org/10.2139/ssrn.2427145
Autor:
Riadh Zaatour, José Da Fonseca
Publikováno v:
SSRN Electronic Journal.
The aim of this paper is to develop a multi-asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead-lag relationship as well as the correlation between the stocks within this framework. Thank
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7a8f0fcb611c8f8961b7a9a87fea36d2
https://doi.org/10.2139/ssrn.2506845
https://doi.org/10.2139/ssrn.2506845