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 theses 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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| File | Description | Size | Format | |
|---|---|---|---|---|
| 148738.pdf | Memòria | 514.4 kB | Adobe PDF | View/Open |
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