Limit theorems for Hull-White model with Hawkes jumps
Probability
2022-07-28 v2
Abstract
In the present paper, we obtain limit theorems for a catogary of Hull-White models with Hawkes jumps including law of large numbers, central limit theorem, and large deviations. In the field of interest rate modeling, it is meaningful in characterizing a long-term rate of return.
Keywords
Cite
@article{arxiv.2207.02622,
title = {Limit theorems for Hull-White model with Hawkes jumps},
author = {Yingli Wang and Ping He},
journal= {arXiv preprint arXiv:2207.02622},
year = {2022}
}
Comments
There is a fundamental flaw in this paper. The positivity of the process can't be guaranteed. As a result, the intensity of the jumps may be meaningless