Hawkes jump-diffusions and finance: a brief history and review

A brief history of diffusions in Finance is presented, followed by an even briefer discussion of jump-diffusions that involve Poisson or Lévy jumps. The main purpose of the paper is then to discuss applications of self-exciting and mutually-exciting Hawkes point processes. After an outline of the ba...

Full description

Saved in:
Bibliographic Details
Published inThe European journal of finance Vol. 28; no. 7; pp. 627 - 641
Main Author Hawkes, Alan G.
Format Journal Article
LanguageEnglish
Published London Routledge 03.05.2022
Taylor & Francis LLC
Subjects
Finance
Hawkes process
Hedging
jump-diffusion
Poisson distribution
portfolio
Portfolio management
pricing
Online AccessGet full text

Cover

More Information
Summary:A brief history of diffusions in Finance is presented, followed by an even briefer discussion of jump-diffusions that involve Poisson or Lévy jumps. The main purpose of the paper is then to discuss applications of self-exciting and mutually-exciting Hawkes point processes. After an outline of the basic properties of this class of processes, there is a review of some recent articles that show how incorporating them as contagious jumps into Financial diffusions may improve model fit, forecasting, pricing, hedging and portfolio management.
ISSN:1351-847X
1466-4364
DOI:10.1080/1351847X.2020.1755712