Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model.
- Published in:
- Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 963, doi. 10.1007/s11009-022-09931-8
- By:
- Publication type:
- Article
Works by Hainaut, Donatien
Results: 33
1
2
A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices.
- Published in:
- Methodology & Computing in Applied Probability, 2019, v. 21, n. 4, p. 1337, doi. 10.1007/s11009-018-9678-4
- By:
- Publication type:
- Article
3
The rough Hawkes process.
- Published in:
- Communications in Statistics: Theory & Methods, 2025, v. 54, n. 11, p. 3322, doi. 10.1080/03610926.2024.2389959
- By:
- Publication type:
- Article
4
A mutually exciting rough jump-diffusion for financial modelling.
- Published in:
- Fractional Calculus & Applied Analysis, 2024, v. 27, n. 1, p. 319, doi. 10.1007/s13540-023-00234-4
- By:
- Publication type:
- Article
5
Insurance Analytics with Clustering Techniques.
- Published in:
- Risks, 2024, v. 12, n. 9, p. 141, doi. 10.3390/risks12090141
- By:
- Publication type:
- Article
6
Lévy Interest Rate Models with a Long Memory.
- Published in:
- Risks, 2022, v. 10, n. 1, p. 2, doi. 10.3390/risks10010002
- By:
- Publication type:
- Article
7
How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?
- Published in:
- Annals of Operations Research, 2018, v. 262, n. 2, p. 519, doi. 10.1007/s10479-016-2210-8
- By:
- Publication type:
- Article
8
Dynamic asset allocation under VaR constraint with stochastic interest rates.
- Published in:
- Annals of Operations Research, 2009, v. 172, n. 1, p. 97, doi. 10.1007/s10479-008-0509-9
- By:
- Publication type:
- Article
9
Optimal funding of defined benefit pension plans.
- Published in:
- Journal of Pension Economics & Finance, 2011, v. 10, n. 1, p. 31, doi. 10.1017/S1474747210000016
- By:
- Publication type:
- Article
10
Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link.
- Published in:
- Scandinavian Actuarial Journal, 2022, v. 2022, n. 10, p. 841, doi. 10.1080/03461238.2022.2037016
- By:
- Publication type:
- Article
11
Risk management with local least squares Monte Carlo.
- Published in:
- Astin Bulletin, 2023, v. 53, n. 3, p. 489, doi. 10.1017/asb.2023.25
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- Publication type:
- Article
12
A calendar year mortality model in continuous time.
- Published in:
- Astin Bulletin, 2023, v. 53, n. 2, p. 351, doi. 10.1017/asb.2023.2
- By:
- Publication type:
- Article
13
WAVELET-BASED FEATURE EXTRACTION FOR MORTALITY PROJECTION.
- Published in:
- Astin Bulletin, 2020, v. 50, n. 3, p. 675, doi. 10.1017/asb.2020.18
- By:
- Publication type:
- Article
14
A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST.
- Published in:
- Astin Bulletin, 2018, v. 48, n. 2, p. 481, doi. 10.1017/asb.2017.45
- By:
- Publication type:
- Article
15
LIFE ANNUITIZATION: WHY AND HOW MUCH?
- Published in:
- Astin Bulletin, 2006, v. 36, n. 2, p. 629, doi. 10.2143/AST.36.2.2017936
- By:
- Publication type:
- Article
16
Valuation of guaranteed minimum accumulation benefits (GMABs) with physics-inspired neural networks.
- Published in:
- Annals of Actuarial Science, 2024, v. 18, n. 2, p. 442, doi. 10.1017/S1748499524000095
- By:
- Publication type:
- Article
17
Optimal liquidation under indirect price impact with propagator.
- Published in:
- Quantitative Finance, 2025, v. 25, n. 3, p. 359, doi. 10.1080/14697688.2025.2463368
- By:
- Publication type:
- Article
18
A subdiffusive stochastic volatility jump model.
- Published in:
- Quantitative Finance, 2023, v. 23, n. 6, p. 979, doi. 10.1080/14697688.2023.2199959
- By:
- Publication type:
- Article
19
A self-exciting switching jump diffusion: properties, calibration and hitting time.
- Published in:
- Quantitative Finance, 2019, v. 19, n. 3, p. 407, doi. 10.1080/14697688.2018.1501511
- By:
- Publication type:
- Article
20
A model for interest rates with clustering effects.
- Published in:
- Quantitative Finance, 2016, v. 16, n. 8, p. 1203, doi. 10.1080/14697688.2015.1135251
- By:
- Publication type:
- Article
21
An intensity model for credit risk with switching Lévy processes.
- Published in:
- Quantitative Finance, 2014, v. 14, n. 8, p. 1453, doi. 10.1080/14697688.2012.756583
- By:
- Publication type:
- Article
22
An Interest Rate Tree Driven by a Lévy Process.
- Published in:
- Journal of Derivatives, 2010, v. 18, n. 2, p. 33, doi. 10.3905/jod.2010.18.2.033
- By:
- Publication type:
- Article
23
Option pricing in the Heston model with physics inspired neural networks.
- Published in:
- Annals of Finance, 2024, v. 20, n. 3, p. 353, doi. 10.1007/s10436-024-00452-7
- By:
- Publication type:
- Article
24
Affine Heston model style with self-exciting jumps and long memory.
- Published in:
- Annals of Finance, 2024, v. 20, n. 1, p. 1, doi. 10.1007/s10436-023-00436-z
- By:
- Publication type:
- Article
25
A switching self-exciting jump diffusion process for stock prices.
- Published in:
- Annals of Finance, 2019, v. 15, n. 2, p. 267, doi. 10.1007/s10436-018-0340-5
- By:
- Publication type:
- Article
26
Strategic asset allocation with switching dependence.
- Published in:
- Annals of Finance, 2012, v. 8, n. 1, p. 75, doi. 10.1007/s10436-011-0183-9
- By:
- Publication type:
- Article
27
PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES.
- Published in:
- International Journal of Theoretical & Applied Finance, 2021, v. 24, n. 6n7, p. 1, doi. 10.1142/S0219024921500369
- By:
- Publication type:
- Article
28
INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES.
- Published in:
- International Journal of Theoretical & Applied Finance, 2020, v. 23, n. 6, p. N.PAG, doi. 10.1142/S0219024920500399
- By:
- Publication type:
- Article
29
CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION.
- Published in:
- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 7, p. -1, doi. 10.1142/S0219024914500460
- By:
- Publication type:
- Article
30
A structural model for credit risk with switching processes and synchronous jumps.
- Published in:
- European Journal of Finance, 2016, v. 22, n. 11, p. 1040, doi. 10.1080/1351847X.2014.924079
- By:
- Publication type:
- Article
31
An Actuarial Approach for Modeling Pandemic Risk.
- Published in:
- Risks, 2021, v. 9, n. 1, p. 3, doi. 10.3390/risks9010003
- By:
- Publication type:
- Article
32
Calendar Spread Exchange Options Pricing with Gaussian Random Fields.
- Published in:
- Risks, 2018, v. 6, n. 3, p. 77, doi. 10.3390/risks6030077
- By:
- Publication type:
- Article
33
Frequency and Severity Modelling Using Multifractal Processes: An Application to Tornado Occurrence in the USA and CAT Bonds.
- Published in:
- Environmental Modeling & Assessment, 2014, v. 19, n. 3, p. 207, doi. 10.1007/s10666-013-9388-9
- By:
- Publication type:
- Article