Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/148738
Title: Hawkes processes in finance
Author: Bosquet Rodríguez, Andrea
Director/Tutor: Corcuera Valverde, José Manuel
Keywords: Processos estocàstics
Treballs de fi de grau
Processos puntuals
Finances
Stochastic processes
Bachelor's thesis
Point processes
Finance
Issue Date: 19-Jun-2019
Abstract: [en] Finances are an important field where stochastic processes are applied. These processes allow to model different finance situations, such as price modeling or risk. The aim of this project is to study a type of stochastic processes, the Hawkes processes, which are an extension of Poisson processes that considers self-excitation, and see some of their application in the financial field.
Note: Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: José Manuel Corcuera Valverde
URI: http://hdl.handle.net/2445/148738
Appears in Collections:Treballs Finals de Grau (TFG) - Matemàtiques

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