  We consider the stochastic volatility model obtained by adding a compound
Hawkes process to the volatility of the well-known Heston model. A Hawkes
process is a self-exciting counting process with many applications in
mathematical finance, insurance, epidemiology, seismology and other fields. We
prove a general result on the existence of a family of equivalent (local)
martingale measures. We apply this result to a particular example where the
sizes of the jumps are exponentially distributed.
