Souto Arias, Luis Antonio; Cirillo, Pasquale; … - 2022
We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process. Like the Hawkes process, the HQH model can capture the effects of self-excitation and contagion. However, since...