Hawks Finance Seminar & Group
(May-August 2018)
(Mathematical & Computational Finance Lab's (MCFL) Spring-Summer 2018 Activities)
Hawks finance group is a research group of 1 undergraduate, 3 graduate students,  1 visitor and 1 faculty at the Department of Mathematics and Statistics, University of Calgary (U of C), working in the area of Applications of Hawkes Processes in Finance and Insurance.

Hawks Finance Group consists of the following "hawks":

1. Gabriela Zeller (TUM (Munich, Germany) & U of C)
2. Aiden Huffman 
(U of C)
3. Mahamed Badaoui
Escuela Superior de Ingeniería Mecánica y Eléctrica,  México & U of C)
4. Alexis Arrigoni (U of C)
5. Xin Yu (Vinson) Zhang (U of C)
6. Anatoliy Swishchuk (U of C)

Hawks Finance Seminar
We run our weekly Hawks seminar: Wednesday, 1pm (or 12pm), MS543.
One of the activities of this seminar is to review some papers/books on Hawkes processes and their applications in finance and insurance.

Hawks Finance Seminar's Talks & Notes
(will be posted after presentations)

-'Hawkes Processes and their Applications in Finance and Insurance'-Anatoliy, May 9th
-'Simulations of Hawkes Processes by Thinning and Clustering'-Aiden, May16
-'Some Problems in Insurance & Reinsurance'-Mohamed, May 23
-Paper  review: 'Risk Process with Non-stationary Hawkes Claims Arrivals' (by Stabile&Torrisi, Math. Comp. Appl. Prob., 2010)-Gabriela, May 30
-'Parameter Estimation in Compound Hawkes Process for LOB'-Aiden, June 6

-Paper Review: 'Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit' (2013) by De Fonseca and Zaatour-Vinson, June 13
 -Paper Review: 'The endogenous price dynamics of emission allowance and an application to CO2 option pricing' (2012) by Chesney & Taschini-Alexis, June 20)


 -Paper review: 'Hawkes Processes in Finance' (by Bacry et al., 2015):
  -Sec. 3.1-3.2
-Anatoliy, June 27;
-'Some Problems in Insurance & Reinsurance II'-Mohamed, July 4
July 9-15-Stampede Break!
-Paper review: 'Hawkes Processes in Finance' (by Bacry et al., 2015):
Sec. 4-Gabriela, July 18;
Sec. 5-Vinson, July 25; 
Sec. 6-Aiden & Sec. 7-Alexis, August 1

-'Risk process based on general compound Hawkes process and its implementation with real data'-Gabriela (August 7)

Hawks Finance Seminar Research Papers:
-'An Optimal Investment Strategy for Insurers in an Incomplete Markets' by M. Badaoui, B. Fernandez& A. Swishchuk,
Risks, 2018
-'Hawkes Processes in Insurance: Modelling, Applications to Empirical Data and Optimal Investment' by
Gabriela Zeller

If you have any questions, just call us: +1(403) 220-3274 (Anatoliy's office) or +1(403) 220-7697 (Math. & Comp. Finance Lab (MCFL))
Last updated: September 25, 2018