no code implementations • 15 Sep 2022 • Qi Guo, Anatoliy Swishchuk, Bruno Rémillard
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book.
no code implementations • 6 Apr 2021 • Anatoliy Swishchuk
We show how to solve Merton optimal investment stochastic control problem for Hawkes-based models in finance and insurance, i. e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t) of an insurance company with the amount of claims described by the risk model based on GCHP.
no code implementations • 25 Sep 2020 • Anatoliy Swishchuk, Ana Roldan-Contreras, Elham Soufiani, Guillermo Martinez, Mohsen Seifi, Nishant Agrawal, Yao Yao
Here we propose two alternatives to Black 76 to value European option future contracts in which the underlying market prices can be negative or mean reverting.
