Stochastic model for risky assets price using Hawkes processes

The document presents the basic elements to understand the Hawkes processes and their application in finance. The asymptotic behavior of these processes is characterized and the Hawkes diffusion process is described as a model for the logarithmic return of risky assets in continuous time.

Detalles Bibliográficos
Autor Principal: Moreno Trujillo, John Freddy
Formato: Artículo (Article)
Lenguaje:Español (Spanish)
Publicado: Facultad de Finanzas, Gobierno y Relaciones Internacionales 2019
Acceso en línea:https://revistas.uexternado.edu.co/index.php/odeon/article/view/5952