On the cumulant transforms for Hawkes processes
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DOI: 10.1017/jpr.2022.96
Abstract: Abstract We consider the asset price as the weak solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale whose predictable compensator follows shot-noise and Hawkes processes. In… read more here.
Keywords: transforms hawkes; cumulant transforms; hawkes processes;