BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20250309T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20251102T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20251024T120000
DTEND;TZID=America/Chicago:20251024T130000
DTSTAMP:20260430T002603
CREATED:20250630T160529Z
LAST-MODIFIED:20250630T160529Z
UID:1985-1761307200-1761310800@www.math.ttu.edu
SUMMARY:Option Pricing with a Compound CARMA(p\,q)-Hawkes
DESCRIPTION:Speaker: Prof. Lorenzo Mercuri\, Dept of Economics\, Management and Quantitative Methods\, Univ. of Milan \nAbstract: A self-exciting point process with a continuous-time autoregressive moving average intensity process\, named CARMA(p\,q)-Hawkes model\, has recently been introduced. The model generalizes the Hawkes process by substituting the Ornstein-Uhlenbeck intensity with a CARMA(p\,q) model where the associated state process is driven by the counting process itself. The proposed model preserves the same degree of tractability as the Hawkes process\, but it can reproduce more complex time-dependent structures observed in several market data. The paper presents a new model of asset price dynamics based on the CARMA(p\,q) Hawkes model. It is constructed using a compound version of it with a random jump size that is independent of both the counting and the intensity processes and can be employed as the main block for pure jump and (stochastic volatility) jump-diffusion processes. The numerical results for pricing European options illustrate that the new model can replicate the volatility smile observed in financial markets. Through an empirical analysis\, which is presented as a calibration exercise\, we highlight the role of higher order autoregressive and moving average parameters in pricing options.
URL:https://www.math.ttu.edu/mathematicalfinance/event/option-pricing-with-a-compound-carmapq-hawkes/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/06/Mercuri-e1751298511291.jpg
END:VEVENT
END:VCALENDAR