Financial and actuarial derivatives pricing with self-exciting processes
(2023)
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- Abstract
- Self-exciting point processes such as Hawkes processes, describe random sequences of events where the occurrence of an event increases the likelihood of further events occurring. With the upsurge of shocking event like the financial crisis of 2008, and recently, the COVID-19 pandemic or the war in Ukraine, self-exciting point processes have grown in popularity in the finance and actuarial literature as a tool to create clusters in time events. In most cases, these sudden events trigger a series of movements in stock prices, and defaults on commitments over a period of time before returning to normal. This thesis focuses on the modelling of interbank rates and stock prices, the pricing of their derivatives and the valuation of variable annuities in the presence of such shock contagion. This thesis therefore builds on existing frameworks and extends them by proposing Hawkes diffusion frameworks that can be driven by a Markov chain or allow for a long memory of past events.
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Citations
Njike Leunga, C. G. (2023). Financial and actuarial derivatives pricing with self-exciting processes. https://hdl.handle.net/2078.5/105187