Affine point processes: approximation and efficient simulation
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central limit theoremlarge deviationsrare-event simulationaffine jump diffusionaffine point processes
Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- A comparison of the Moore and Miranda existence tests
- Affine point processes and portfolio credit risk
- Affine processes and applications in finance
- Asymptotic properties of stationary point processes with generalized clusters
- Central limit theorem for nonlinear Hawkes processes
- Credit contagion and aggregate losses
- Default clustering in large pools: large deviations
- Default clustering in large portfolios: typical events
- Density approximations for multivariate affine jump-diffusion processes
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Fluctuation analysis for the loss from default
- Genealogical particle analysis of rare events
- Heterogeneous credit portfolios and the dynamics of the aggregate losses
- Large Deviations of Poisson Cluster Processes
- Large deviations for the empirical mean of an M/M/1 queue
- Large portfolio asymptotics for loss from default
- Large portfolio losses: A dynamic contagion model
- Modelling security market events in continuous time: intensity based, multivariate point process models
- Multivariate Hawkes processes: an application to financial data
- PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
- Process-level large deviations for nonlinear Hawkes point processes
- Saddlepoint approximations for affine jump-diffusion models
- Sequential importance sampling and resampling for dynamic portfolio credit risk
- Some limit theorems for Hawkes processes and application to financial statistics
- Spectral theory and limit theorems for geometrically ergodic Markov processes
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- The Fourier-series method for inverting transforms of probability distributions
- The law of large numbers for self-exciting correlated defaults
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(21)- Default clustering in large pools: large deviations
- An ephemerally self-exciting point process
- Fast approximation of the intensity of Gibbs point processes
- Pricing insurance premia: a top down approach
- Affine point processes and portfolio credit risk
- Large and moderate deviations for a discrete-time marked Hawkes process
- Efficient Simulation of Sparse Graphs of Point Processes
- Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
- Large deviations and applications for Markovian Hawkes processes with a large initial intensity
- Asymptotic inference for jump diffusions with state-dependent intensity
- Transform analysis for Hawkes processes with applications in dark pool trading
- Reducing bias in event time simulations via measure changes
- Matrix calculations for moments of Markov processes
- A variational approach to stability relative to a set of single-valued and set-valued mappings
- Importance sampling for a simple Markovian intensity model using subsolutions
- Affine diffusions and related processes: simulation, theory and applications
- Closed-form likelihood estimation for one type of affine point processes
- Staffing many‐server queues with autoregressive inputs
- Compound multivariate Hawkes processes: large deviations and rare event simulation
- Precise deviations for Hawkes processes
- Asymptotic analysis for affine point processes with large initial intensity
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