Donatien Hainaut

Publication Activity (10 Years)

Years Active: 2009-2024
Publications (10 Years): 8

Top Topics

Black Scholes Model

Top Venues

J. Comput. Appl. Math.

Eur. J. Oper. Res.

Ann. Oper. Res.

SIAM J. Financial Math.

Publications

John-John Ketelbuters, Donatien Hainaut
A recursive method for fractional Hawkes intensities and the potential approach of credit risk. J. Comput. Appl. Math. 448 (2024)
Edouard Motte, Donatien Hainaut
Partial Hedging in Rough Volatility Models. SIAM J. Financial Math. 15 (3) (2024)
Donatien Hainaut
Pricing of spread and exchange options in a rough jump-diffusion market. J. Comput. Appl. Math. 419 (2023)
John-John Ketelbuters, Donatien Hainaut
CDS pricing with fractional Hawkes processes. Eur. J. Oper. Res. 297 (3) (2022)
John-John Ketelbuters, Donatien Hainaut
Time-consistent evaluation of credit risk with contagion. J. Comput. Appl. Math. 403 (2022)
Donatien Hainaut, Nikolai Leonenko
Option pricing in illiquid markets: A fractional jump-diffusion approach. J. Comput. Appl. Math. 381 (2021)
Donatien Hainaut, Yang Shen, Yan Zeng
How do capital structure and economic regime affect fair prices of bank's equity and liabilities? Ann. Oper. Res. 262 (2) (2018)
Donatien Hainaut
Clustered Lévy processes and their financial applications. J. Comput. Appl. Math. 319 (2017)
Donatien Hainaut, Griselda Deelstra
Default probabilities of a holding company, with complete and partial information. J. Comput. Appl. Math. 271 (2014)
Donatien Hainaut
Impulse control of pension fund contributions, in a regime switching economy. Eur. J. Oper. Res. 239 (3) (2014)
Donatien Hainaut
Dynamic asset allocation under VaR constraint with stochastic interest rates. Ann. Oper. Res. 172 (1) (2009)