Items where Author is "Dassios, Angelos"

Number of items: 66.
Article
  • Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression. (2022) Chen, Zezhun and Dassios, Angelos and Tzougas, George picture_as_pdf
  • Random variate generation for exponential and gamma tilted stable distributions. (2021) Qu, Yan and Dassios, Angelos and Zhao, Hongbiao picture_as_pdf
  • Exact simulation of Ornstein-Uhlenbeck tempered stable processes. (2021) Qu, Yan and Dassios, Angelos and Zhao, Hongbiao picture_as_pdf
  • Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Dassios, Angelos and Lim, Jia Wei and Qu, Yan picture_as_pdf
  • Cluster point processes and Poisson thinning INARMA. Chen, Zezhun and Dassios, Angelos picture_as_pdf
  • A Cox model for gradually disappearing events. Jang, Jiwook and Qu, Yan and Zhao, Hongbiao and Dassios, Angelos picture_as_pdf
  • A Cox process with log-normal intensity. Basu, Sankarshan and Dassios, Angelos
  • Double-barrier Parisian options. Dassios, Angelos and Wu, Shanle
  • EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects. Chen, Zezhun Chen and Dassios, Angelos and Tzougas, George picture_as_pdf
  • EM estimation for the bivariate mixed exponential regression model. Chen, Zezhun and Dassios, Angelos and Tzougas, George picture_as_pdf
  • Efficient simulation of Lévy-driven point processes. Dassios, Angelos and Qu, Yan and Zhao, Hongbiao picture_as_pdf
  • Efficient simulation of clustering jumps with CIR intensity. Dassios, Angelos and Zhao, Hongbiao
  • Exact simulation for a class of tempered stable. Dassios, Angelos and Qu, Yan and Zhao, Hongbiao
  • Exact simulation of Hawkes process with exponentially decaying intensity. Dassios, Angelos and Zhao, Hongbiao
  • Exact simulation of Poisson-Dirichlet distribution and generalised gamma process. Dassios, Angelos and Zhang, Junyi picture_as_pdf
  • Exact simulation of a truncated Lévy subordinator. Dassios, Angelos and Lim, Jia Wei and Qu, Yan picture_as_pdf
  • Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps. Qu, Yan and Dassios, Angelos and Zhao, Hongbiao picture_as_pdf
  • Exact simulation of generalised Vervaat perpetuities. Dassios, Angelos and Lim, Jia Wei and Qu, Yan picture_as_pdf
  • Exact simulation of quadratic intensity models. Qu, Yan and Dassios, Angelos and Liu, Anxin and Zhao, Hongbiao picture_as_pdf
  • Exact simulation of two-parameter Poisson-Dirichlet random variables. Dassios, Angelos and Zhang, Junyi picture_as_pdf
  • Explicit asymptotic on first passage times of diffusion processes. Dassios, Angelos and Li, Luting picture_as_pdf
  • First hitting time of Brownian motion on simple graph with skew semiaxes. Dassios, Angelos and Zhang, Junyi picture_as_pdf
  • INAR approximation of bivariate linear birth and death process. Chen, Zezhun Chen and Dassios, Angelos and Tzougas, George picture_as_pdf
  • Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Dassios, Angelos and Jang, J.W.
  • A Markov chain model for contagion. Dassios, Angelos and Zhao, Hongbiao
  • Moments of renewal shot-noise processes and their applications. Jang, Jiwook and Dassios, Angelos and Zhao, Hongbiao
  • Multivariate zero-inflated INAR(1) model with an application in automobile insurance. Zhang, Pengcheng and Chen, Zezhun and Tzougas, George and Calderín–Ojeda, Enrique and Dassios, Angelos and Wu, Xueyuan picture_as_pdf
  • On barrier strategy dividends with Parisian implementation delay for classical surplus processes. Dassios, Angelos and Wu, Shanle
  • On the quantiles of the Brownian motion and their hitting times. Dassios, Angelos
  • Parisian option pricing: a recursive solution for the density of the Parisian stopping time. Dassios, Angelos and Lim, Jia Wei
  • Parisian time of reflected Brownian motion with drift on rays and its application in banking. Dassios, Angelos and Zhang, Junyi picture_as_pdf
  • Perturbed Brownian motion and its application to Parisian option pricing. Dassios, Angelos and Wu, Shanle
  • Posterior sampling from truncated Ferguson-Klass representation of normalised completely random measure mixtures. Zhang, Junyi and Dassios, Angelos picture_as_pdf
  • Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Dassios, Angelos and Jang, Jiwook
  • Recursive formula for the double barrier Parisian stopping time. Dassios, Angelos and Lim, Jia Wei
  • Ruin by dynamic contagion claims. Dassios, Angelos and Zhao, Hongbiao
  • Shot-noise cojumps:exact simulation and option pricing. Qu, Yan and Dassios, Angelos and Zhao, Hongbiao picture_as_pdf
  • Stochastic boundary crossing probabilities for the Brownian motion. Che, Xiaonan and Dassios, Angelos
  • Testing independence of covariates and errors in nonparametric regression. Sankar, Subhra and Bergsma, Wicher and Dassios, Angelos
  • Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models. Zhang, Junyi and Dassios, Angelos picture_as_pdf
  • Truncated two-parameter Poisson-Dirichlet approximation for Pitman-Yor process hierarchical models. Zhang, Junyi and Dassios, Angelos picture_as_pdf
  • An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options. Dassios, Angelos and Lim, Jia Wei
  • A bivariate shot noise self-exciting process for insurance. Jang, Jiwook and Dassios, Angelos
  • A consistent test of independence based on a sign covariance related to Kendall's tau. Bergsma, Wicher and Dassios, Angelos
  • The distribution of the interval between events of a Cox process with shot noise intensity. Dassios, Angelos and Jang, Jiwook
  • A dynamic contagion process. Dassios, Angelos and Zhao, Hongbiao
  • An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. Dassios, Angelos and Lim, Jia Wei
  • A first order binomial mixed poisson integer-valued autoregressive model with serially dependent innovations. Chen, Zezhun Chen and Dassios, Angelos and Tzougas, George picture_as_pdf
  • A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance. Dassios, Angelos and Jang, Jiwook and Zhao, Hongbiao picture_as_pdf
  • A generalised contagion process with an application to credit risk. Dassios, Angelos and Zhao, Hongbiao
  • The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing. Dassios, Angelos and Zhang, You You
  • A risk model with delayed claims. Dassios, Angelos and Zhao, Hongbiao
  • A risk model with renewal shot-noise Cox process. Dassios, Angelos and Jang, Jiwook and Zhao, Hongbiao
  • The square-root process and Asian options. Dassios, Angelos and Nagaradjasarma, Jayalaxshmi
  • A study of the power and robustness of a new test for independence against contiguous alternatives. Dhar, Subhra Sankar and Dassios, Angelos and Bergsma, Wicher
  • A two-phase dynamic contagion model for COVID-19. Chen, Zezhun and Dassios, Angelos and Kuan, Valerie and Lim, Jia Wei and Qu, Yan and Surya, Budhi and Zhao, Hongbiao picture_as_pdf
  • A variation of the Azéma martingale and drawdown options. Dassios, Angelos and Lim, Jia Wei
    • Conference or Workshop Item
  • Point processes with contagion and an application to credit risk. Dassios, Angelos and Zhao, Hongbiao
  • A dynamic contagion process and an application to credit risk. Dassios, Angelos and Zhao, Hongbiao
    • Working paper
  • Barrier strategies with Parisian delay. Dassios, Angelos and Wu, Shanle
  • Brownian excursions in a corridor and related Parisian options. Dassios, Angelos and Wu, Shanle
  • Brownian excursions outside a corridor and two-sided Parisian options. Dassios, Angelos and Wu, Shanle
  • Parisian ruin with exponential claims. Dassios, Angelos and Wu, Shanle
  • Pricing of Asian options on interest rates in the CIR model. Dassios, Angelos and Nagaradjasarma, Jayalaxshmi
  • Quantiles of Lévy processes and applications in finance. Dassios, Angelos
  • Ruin probabilities of the Parisian type for small claims. Dassios, Angelos and Wu, Shanle