JASA May 18, 2026

Saddlepoint Approximations for Hawkes Jump-Diffusion Processes with an Application to Risk Management*

Authors

Roger J. A. Laeven Yacine Aït-Sahalia

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Paper Information

Journal:
Journal of the American Statistical Association
DOI:
10.1080/01621459.2026.2670729
Published:
May 18, 2026
Added to Tracker:
May 19, 2026

Author Details

Roger J. A. Laeven

Author

Yacine Aït-Sahalia

Author

Citation Information

APA Format


                                
                                    
                                    Roger J. A. Laeven
                                
                                    
                                         & 
                                    
                                    Yacine Aït-Sahalia
                                
                                
                                 (2026)
                                . 
                                Saddlepoint Approximations for Hawkes Jump-Diffusion Processes with an Application to Risk Management*. 
                                Journal of the American Statistical Association
                                , 10.1080/01621459.2026.2670729.

BibTeX Format


@article{paper1191,

  title = { Saddlepoint Approximations for Hawkes Jump-Diffusion Processes with an Application to Risk Management* },

  author = { 
                                
                                    Roger J. A. Laeven
                                
                                     and Yacine Aït-Sahalia
                                
                                },

  journal = { Journal of the American Statistical Association },

  year = { 2026 },

  doi = { 10.1080/01621459.2026.2670729 },

  url = { https://doi.org/10.1080/01621459.2026.2670729 }

}

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