Multi-dimensional Self-Exciting NBD Process and Default Portfolios

Hisakado, M., Kitsukawa, K., & Mori, S. (2006). Correlated binomial models and correlation structures. Journal of Physics A, 39, 15365.

Mori, S., Kitsukawa, K., & Hisakado, M. (2010). Moody’s correlated binomial default distributions for inhomogeneous portfolios. Quantitative Finance, 10, 1469.

Mori, S., Kitsukawa, K., & Hisakado, M. (2008). Correlation structures of correlated binomial models and implied default distribution. Journal of the Physical Society of Japan, 77, 114802.

Schönbucher, P. J. (2003). Credit derivatives pricing models: Models, pricing, and implementation. Wiley.

Hawkes, A. G. (1971). Spectra of self-exciting and mutually exciting point processes. Biometrica, 58, 83.

Kirchner, M. (2017). An estimation procedure for the Hawkes process. Quantitative Finance, 17, 57.

Blanc, P., Donier, J., & Bouchard, J.-P. (2017). Quadratic Hawkes processes for financial prices. Quantitative Finance, 17, 171.

Errais, E., Giesecke, K., & Goldberg, L. R. (2010). Affine point processes and portfolio credit risk. SIAM Journal on Financial Mathematics, 1, 642.

Kanazawa, K., & Sornett, D. (2020). Nonuniversal power law distribution of intensities of the self-excited Hawkes process: A field-theoretical approach. Physical Review Letters, 125, 138301.

Kanazawa, K., & Sornett, D. (2020). Field master equation theory of the self-excited Hawkes process. Physical Review Research, 2, 033442.

Hisakado, M., Hattori, K., & Mori, S. (2022) From the multi-terms urn model to the self-exciting negative binomial distribution and Hawkes process. Phys. Rev. E, 106, 034106

Hisakado, M., & Mori, S. (2021). Quantum statistics and networks by asymmetric preferential attachment of nodes-between bosons and fermions. Journal of the Physical Society of Japan, 90(8), 084801.

Florescu, I., Mariani, M. C., Stanley, H. E., & Viens, F. G. (Eds.). (2016). Handbook of high-frequency trading and modeling in finance. Wiley.

Langville, A. N., & Meyer, C. D. (2006). Google’s pagerank and beyond. Princeton University Press.

(2021). 2020 Annual Global Corporate Default Study and Rating Transitions (S &P Global Ratings).

Hisakado, M., & Mori, S. (2020). Phase transition in the Bayesian estimation of the default portfolio. Physica A, 544, 123480.

Embrechts, P., & Krichner, M. (2018). Hawkes graphs. Theory of Probability & Its Applications, 62(1), 163.