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Displaying 1 - 25 of 111 results.

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    • Journal article
    Wavelet-based feature extraction for mortality projection
    Hainaut, Donatien[UCL] Denuit, Michel[UCL] (2020) ASTIN Bulletin — Vol. 50, no. 3, p. 675-707 (2020)
    • Journal article
    Continuous Mixed-Laplace Jump Diffusion Models for Stocks and Commodities
    Hainaut, Donatien[UCL] (2017) Quantitative Finance and Economics — Vol. 1, no. 2, p. 145-173 (2017)
    • WorkingPaper
    A mutually exciting rough jump diffusion for financial modelling
    Hainaut, Donatien[UCL] (2023)
    • WorkingPaper
    A calendar year mortality model in continuous time
    Hainaut, Donatien[UCL] (2022)
    • WorkingPaper
    The rough Hawkes process
    Hainaut, Donatien[UCL] Chen, Maggie Scalas, Enrico (2023)
    • Book
    Effective Statistical Learning Methods for Actuaries I : GLMs and Extensions
    Denuit, Michel[UCL] Hainaut, Donatien[UCL] Trufin, Julien (2019)
    • WorkingPaper
    Partial hedging in rough volatility models
    Motte, Edouard[UCL] Hainaut, Donatien[UCL] (2023)
    • WorkingPaper
    Option pricing and hedging in illiquid markets in presence of jump clustering
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2022)
    • Journal article
    Portfolio insurance under rough volatility and Volterra processes
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2021) International Journal of Theoretical and Applied Finance — Vol. 24, no. 6-7, p. 2150036 (2021)
    • Journal article
    Hedging of crop harvest with derivatives on temperature
    Hainaut, Donatien[UCL] (2019) Insurance: Mathematics and Economics — Vol. 84, p. 98-114 (2019)
    • Journal article
    Frequency and Severity Modelling Using Multifractal Processes: An Application to Tornado Occurrence in the USA and CAT Bonds
    Hainaut, Donatien[UCL] Boucher, Jean-Philippe (2013) Environmental Modeling & Assessment — Vol. 19, no.3, p. 207-220 (2013)
    • Journal article
    A switching self-exciting jump diffusion process for stock prices
    Hainaut, Donatien[UCL] Moraux, Franck (2019) Annals of Finance — Vol. 15, no. 2, p. 267-306 (2019)
    • Journal article
    A structural model for credit risk with switching processes and synchronous jumps
    Hainaut, Donatien[UCL] Colwell, David B. (2014) The European Journal of Finance — Vol. 22, no.11, p. 1040-1062 (2014)
    • WorkingPaper
    Optimal liquidation under indirect price impact with propagator
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2023)
    • Journal article
    Impulse control of pension fund contributions, in a regime switching economy
    Hainaut, Donatien[UCL] (2014) European Journal of Operational Research — Vol. 239, no. 3, p. 810-819 (2014)
    • WorkingPaper
    Credit risk modelling with fractional self-excited processes
    Hainaut, Donatien[UCL] (2020)
    • Journal article
    Calendar spread exchange options pricing with Gaussian random fields
    Hainaut, Donatien[UCL] (2018) Risks — Vol. 6, no. 3, p. 77 (2018)
    • Journal article
    A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices
    Hainaut, Donatien[UCL] Deelstra, Griselda (2018) Methodology and Computing in Applied Probability — Vol. 21, no. 4, p. 1337-1375 (2019)
    • WorkingPaper
    A fractional Hawkes process for illiquidity modeling
    Dupret, Jean-Loup[UCL] Hainaut, Donatien[UCL] (2023)
    • Journal article
    Pricing of spread and exchange options in a rough jump–diffusion market
    Hainaut, Donatien[UCL] (2023) Journal of Computational and Applied Mathematics — Vol. 149, p. 114752 (2023)
    • WorkingPaper
    Impact of rough stochastic volatility models on long-term life insurance pricing
    Dupret, Jean-Loup[UCL] Barbarin, Jérôme[UCL] Hainaut, Donatien[UCL] (2021)
    • WorkingPaper
    CDS Pricing with Fractional Hawkes Processes
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2021)
    • WorkingPaper
    Pricing of spread and exchange options in a rough jump-diffusion market
    Hainaut, Donatien[UCL] (2022)
    • Journal article
    A fractional multi-states model for insurance
    Hainaut, Donatien[UCL] (2021) Insurance: Mathematics and Economics — Vol. 98, p. 120-132 (2021)
    • Journal article
    Profit shares: A stochastic control approach
    Hainaut, Donatien[UCL] (2009) Bulletin Français d'actuariat — Vol. 9, no. 18, p. 65-78

Pages