Limit theorems for Hull-White model with Hawkes jumps

Yingli Wang; Ping He

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arXiv · 2207.02622

Limit theorems for Hull-White model with Hawkes jumps

Yingli Wang·Ping He

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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.

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Yingli Wang, Ping He. 2022-07-06. Limit theorems for Hull-White model with Hawkes jumps. https://arxiv.org/abs/2207.02622

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