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Continuous mixed-laplace jump diffusion models for stocks and commodities
Hainaut, Donatien - In: Quantitative finance and economics 1 (2017) 2, pp. 145-173
Persistent link: https://www.econbiz.de/10012137762
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A fractal version of the Hull-White interest rate model
Hainaut, Donatien - In: Economic modelling 31 (2013), pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
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A self-exciting switching jump diffusion : properties, calibration and hitting time
Hainaut, Donatien; Deelstra, Griselda - In: Quantitative finance 19 (2019) 3, pp. 407-426
Persistent link: https://www.econbiz.de/10012194661
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A switching self-exciting jump diffusion process for stock prices
Hainaut, Donatien; Moraux, Franck - In: Annals of finance 15 (2019) 2, pp. 267-306
Persistent link: https://www.econbiz.de/10012058243
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Impact of volatility clustering on equity indexed annuities
Hainaut, Donatien - In: Insurance / Mathematics & economics 71 (2016), pp. 367-381
Persistent link: https://www.econbiz.de/10011630885
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A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup; Hainaut, Donatien - In: Quantitative finance 23 (2023) 6, pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
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Multivariate claim processes with rough intensities : properties and estimation
Hainaut, Donatien - In: Insurance / Mathematics & economics 107 (2022), pp. 269-287
Persistent link: https://www.econbiz.de/10013471245
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Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike; Hainaut, Donatien - In: Annals of finance 20 (2024) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10014566365