Items where Author is "Zhao, Hongbiao"

Number of items: 22.
Article
  • 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
  • A Cox model for gradually disappearing events. Jang, Jiwook and Qu, Yan and Zhao, Hongbiao and Dassios, Angelos 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 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 quadratic intensity models. Qu, Yan and Dassios, Angelos and Liu, Anxin and Zhao, Hongbiao picture_as_pdf
  • 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
  • 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
  • A dynamic contagion process. Dassios, Angelos and Zhao, Hongbiao
  • 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
  • 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
  • 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
    • 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
    • Report
  • Portfolio credit risk of default and spread widening. Zhao, Hongbiao