Qu, Yan

Number of items: 12.
Mathematics
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2019). Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps. Journal of the Operational Research Society, https://doi.org/10.1080/01605682.2019.1657368 picture_as_pdf
    • Statistics
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2023). Shot-noise cojumps: exact simulation and option pricing. Journal of the Operational Research Society, 74(3), 647 - 665. https://doi.org/10.1080/01605682.2022.2077660 picture_as_pdf
  • Jang, Jiwook, Qu, Yan, Zhao, Hongbiao, Dassios, Angelos (2023). A Cox model for gradually disappearing events. Probability in the Engineering and Informational Sciences, 37(1), 214 - 231. https://doi.org/10.1017/S0269964821000553 picture_as_pdf
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2021). Random variate generation for exponential and gamma tilted stable distributions. ACM Transactions on Modeling and Computer Simulation, 31(4). https://doi.org/10.1145/3449357 picture_as_pdf
  • Chen, Zezhun, Dassios, Angelos, Kuan, Valerie, Lim, Jia Wei, Qu, Yan, Surya, Budhi, Zhao, Hongbiao (2021). A two-phase dynamic contagion model for COVID-19. Results in Physics, 26, https://doi.org/10.1016/j.rinp.2021.104264 picture_as_pdf
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2021). Exact simulation of Ornstein-Uhlenbeck tempered stable processes. Journal of Applied Probability, 58(2), 347 - 371. https://doi.org/10.1017/jpr.2020.92 picture_as_pdf
  • Dassios, Angelos, Lim, Jia Wei, Qu, Yan (2020). Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Mathematical Finance, 30(4), 1497-1526. https://doi.org/10.1111/mafi.12248 picture_as_pdf
  • Dassios, Angelos, Lim, Jia Wei, Qu, Yan (2020). Exact simulation of a truncated Lévy subordinator. ACM Transactions on Modeling and Computer Simulation, 30(3). https://doi.org/10.1145/3368088 picture_as_pdf
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2019). Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps. Journal of the Operational Research Society, https://doi.org/10.1080/01605682.2019.1657368 picture_as_pdf
  • Dassios, Angelos, Qu, Yan, Zhao, Hongbiao (2019). Efficient simulation of Lévy-driven point processes. Advances in Applied Probability, 51(4), 927-966. picture_as_pdf
  • Qu, Yan (2019). Simulations on Lévy subordinators and Lévy driven contagion models [Doctoral thesis]. London School of Economics and Political Science.
  • Dassios, Angelos, Lim, Jia Wei, Qu, Yan (2019). Exact simulation of generalised Vervaat perpetuities. Journal of Applied Probability, 56(1), 57-75. https://doi.org/10.1017/jpr.2019.6 picture_as_pdf
  • Dassios, Angelos, Qu, Yan, Zhao, Hongbiao (2018). Exact simulation for a class of tempered stable. ACM Transactions on Modeling and Computer Simulation, 28(3). https://doi.org/10.1145/3184453