Hawkes processes in finance

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dc.contributor.advisorCorcuera Valverde, José Manuel
dc.contributor.authorBosquet Rodríguez, Andrea
dc.date.accessioned2020-01-27T09:42:52Z
dc.date.available2020-01-27T09:42:52Z
dc.date.issued2019-06-19
dc.descriptionTreballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: José Manuel Corcuera Valverdeca
dc.description.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.ca
dc.format.extent57 p.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/2445/148738
dc.language.isoengca
dc.rightscc-by-nc-nd (c) Andrea Bosquet Rodríguez, 2019
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.sourceTreballs Finals de Grau (TFG) - Matemàtiques
dc.subject.classificationProcessos estocàsticsca
dc.subject.classificationTreballs de fi de grau
dc.subject.classificationProcessos puntualsca
dc.subject.classificationFinancesca
dc.subject.otherStochastic processesen
dc.subject.otherBachelor's theses
dc.subject.otherPoint processesen
dc.subject.otherFinanceen
dc.titleHawkes processes in financeca
dc.typeinfo:eu-repo/semantics/bachelorThesisca

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