Multivariate claim processes with rough intensities : properties and estimation
Donatien Hainaut
| Year of publication: |
2022
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|---|---|
| Authors: | Hainaut, Donatien |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 107.2022, p. 269-287
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| Subject: | Fractional Brownian motion | Rough volatility | Cox process | Compound Poisson process | Cyber-risk | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.08.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013471245