Donatien Hainaut

According to our database, Donatien Hainaut authored at least 12 papers between 2009 and 2024.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2024

Partial Hedging in Rough Volatility Models.

Edouard Motte, Donatien Hainaut

SIAM J. Financial Math., 2024

A recursive method for fractional Hawkes intensities and the potential approach of credit risk.

John-John Ketelbuters, Donatien Hainaut

J. Comput. Appl. Math., 2024

Variational AutoEncoder for synthetic insurance data.

Charlotte Jamotton, Donatien Hainaut

Intell. Syst. Appl., 2024

2023

Pricing of spread and exchange options in a rough jump-diffusion market.

Donatien Hainaut

J. Comput. Appl. Math., 2023

2022

Time-consistent evaluation of credit risk with contagion.

John-John Ketelbuters, Donatien Hainaut

J. Comput. Appl. Math., 2022

CDS pricing with fractional Hawkes processes.

John-John Ketelbuters, Donatien Hainaut

Eur. J. Oper. Res., 2022

2021

Option pricing in illiquid markets: A fractional jump-diffusion approach.

Donatien Hainaut, Nikolai Leonenko

J. Comput. Appl. Math., 2021

2018

How do capital structure and economic regime affect fair prices of bank's equity and liabilities?

Donatien Hainaut, Yang Shen, Yan Zeng

Ann. Oper. Res., 2018

2017

Clustered Lévy processes and their financial applications.

Donatien Hainaut

J. Comput. Appl. Math., 2017

2014

Default probabilities of a holding company, with complete and partial information.

Donatien Hainaut, Griselda Deelstra

J. Comput. Appl. Math., 2014

Impulse control of pension fund contributions, in a regime switching economy.

Donatien Hainaut

Eur. J. Oper. Res., 2014

2009

Dynamic asset allocation under VaR constraint with stochastic interest rates.

Donatien Hainaut

Ann. Oper. Res., 2009