Jump risk premia in the presence of clustered jumps

By Francis Liu, Natalie Packham, Artur Sepp

Published 2025-10-27

Everscope rating

1816.9

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Bivariate Hawkes Process Jump Diffusion Model. Problem types: Regression, Risk Management, Portfolio Optimization, Derivatives Pricing, Time Series Forecasting.

arXiv:2510.21297 · Code · Paper rankings

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