User menu

Accès à distance ? S'identifier sur le proxy UCLouvain

All Publications

Displaying 8 results.
    • WorkingPaper
    Option pricing and hedging in illiquid markets in presence of jump clustering
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2022)
    • WorkingPaper
    CDS Pricing with Fractional Hawkes Processes
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2021)
    • WorkingPaper
    A recursive method for computing moments of Hawkes intensities: application to the potential approach of credit risk
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2022)
    • WorkingPaper
    Time-Consistent Evaluation of Credit Risk with Contagion
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2021)
    • Journal article
    CDS pricing with fractional Hawkes processes
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2022) European Journal of Operational Research — Vol. 297, no.3, p. 1139-1150 (2022)
    • Journal article
    Time-consistent evaluation of credit risk with contagion
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2022) Journal of Computational and Applied Mathematics — Vol. 403, p. 113848 (2022)
    • Dissertation
    Self-exciting and fractional processes in finance
    Ketelbuters, John John[UCL] (2022)
    • Journal article
    A Recursive Method for Fractional Hawkes Intensities and the Potential Approach of Credit Risk
    Ketelbuters, John John[UCL] Hainaut, Donatien[UCL] (2024) Journal of Computational and Applied Mathematics — Vol. 448, p. 115895 (2024)