| Hawkes processes in financial markets |
| کد مقاله : 1051-FEMATH8 |
| نویسندگان |
|
مهدیه طهماسبی *، مهدیه طهماسبی هیات علمی دانشگاه تربیت مدرس |
| چکیده مقاله |
| In this paper, we first consider the delta computation of some options when the underlying asset is driven by a Hawkes process, using a powerful tool called Malliavin calculus. We will obtain an expression for the weight Malliavin derivative concerning the Poisson space in the desired duality formula. Second, the mean-variance hedging strategy is also generalized for this type of asset according to its derivatives with respect to both Wiener and Poisson spaces. Finally, using a Clarck-Ocone formula, we provide a martingale representation for the maximum of a Hawkes process to price a barrier option depending on the maximum of the asset. |
| کلیدواژه ها |
| Hawkes process,, Clarck-Ocone formula,, Malliavin calculus |
| وضعیت: پذیرفته شده برای ارائه شفاهی |
