Items where Author is "Qu, Yan"

Number of items: 12.
Article
  • Random variate generation for exponential and gamma tilted stable distributions. (2021) Qu, Yan; Dassios, Angelos; Zhao, Hongbiao picture_as_pdf
  • Exact simulation of Ornstein-Uhlenbeck tempered stable processes. (2021) Qu, Yan; Dassios, Angelos; Zhao, Hongbiao picture_as_pdf
  • Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Dassios, Angelos; Lim, Jia Wei; Qu, Yan picture_as_pdf
  • A Cox model for gradually disappearing events. Jang, Jiwook; Qu, Yan; Zhao, Hongbiao; Dassios, Angelos picture_as_pdf
  • Efficient simulation of Lévy-driven point processes. Dassios, Angelos; Qu, Yan; Zhao, Hongbiao picture_as_pdf
  • Exact simulation for a class of tempered stable. Dassios, Angelos; Qu, Yan; Zhao, Hongbiao
  • Exact simulation of a truncated Lévy subordinator. Dassios, Angelos; Lim, Jia Wei; Qu, Yan picture_as_pdf
  • Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps. Qu, Yan; Dassios, Angelos; Zhao, Hongbiao picture_as_pdf
  • Exact simulation of generalised Vervaat perpetuities. Dassios, Angelos; Lim, Jia Wei; Qu, Yan picture_as_pdf
  • Exact simulation of quadratic intensity models. Qu, Yan; Dassios, Angelos; Liu, Anxin; Zhao, Hongbiao picture_as_pdf
  • Shot-noise cojumps:exact simulation and option pricing. Qu, Yan; Dassios, Angelos; Zhao, Hongbiao picture_as_pdf
  • A two-phase dynamic contagion model for COVID-19. Chen, Zezhun; Dassios, Angelos; Kuan, Valerie; Lim, Jia Wei; Qu, Yan; Surya, Budhi; Zhao, Hongbiao picture_as_pdf