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

Alan G. Hawkes

The European Journal of Finance, 2022, vol. 28, issue 7, 627-641

Abstract: 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.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/1351847X.2020.1755712 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:28:y:2022:i:7:p:627-641

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/1351847X.2020.1755712

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().