  In this paper, we propose a stochastic process, which is a Cox-Ingersoll-Ross
process with Hawkes jumps. It can be seen as a generalization of the classical
Cox-Ingersoll-Ross process and the classical Hawkes process with exponential
exciting function. Our model is a special case of the affine point processes.
Laplace transforms and limit theorems have been obtained, including law of
large numbers, central limit theorems and large deviations.
