Simulation thinning algorithm for a CARMA(p,q)-Hawkes model
Computation
2025-06-10 v2
Abstract
This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We identify upper bounds for both the univariate and the multivariate intensity functions that are used to develop simulation algorithms based on the thinning technique.
Cite
@article{arxiv.2402.03275,
title = {Simulation thinning algorithm for a CARMA(p,q)-Hawkes model},
author = {Lorenzo Mercuri and Andrea Perchiazzo and Edit Rroji},
journal= {arXiv preprint arXiv:2402.03275},
year = {2025}
}
Comments
The working paper is now part of an upcoming article in Quantitative Finance titled "Option Pricing with a Compound CARMA(p,q)-Hawkes Process" (arXiv:2412.15172; see Section 4: Simulation Algorithm). To avoid any potential confusion for readers, we kindly request the withdrawal of the working paper